Local asymptotic normality property for fractional Gaussian noise under high-frequency observations

DOI10.1214/17-AOS1611zbMath1411.62045arXiv1610.03694OpenAlexW2539100490MaRDI QIDQ1800793

Alexandre Brouste, Masaaki Fukasawa

Publication date: 24 October 2018

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.03694

zbMATH Keywords

likelihood ratio testfractional Brownian motionhigh-frequency datamaximum likelihood estimatorslocally asymptotically normal families

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Asymptotic properties of parametric tests (62F05)

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