LAMN property for multivariate inhomogeneous diffusions with discrete observations

DOI10.1214/22-EJS2049OpenAlexW4293483286MaRDI QIDQ2168085

Ngoc Khue Tran, Hoang-Long Ngo

Publication date: 31 August 2022

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-16/issue-2/LAMN-property-for-multivariate-inhomogeneous-diffusions-with-discrete-observations/10.1214/22-EJS2049.full

zbMATH Keywords

Malliavin calculusasymptotic efficiencynon-ergodic diffusionlocal asymptotic mixed normality propertymultivariate inhomogeneous diffusion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

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