LAN property for an ergodic diffusion with jumps

DOI10.1080/02331888.2016.1239727zbMath1369.60054arXiv1506.00776OpenAlexW2345226953MaRDI QIDQ5280372

Ngoc Khue Tran, Eulalia Nualart, Arturo Kohatsu-Higa

Publication date: 20 July 2017

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.00776

zbMATH Keywords

Brownian motionMalliavin calculusasymptotic efficiencylocal asymptotic normalityPoisson random measurejump-diffusion process

Mathematics Subject Classification ID

Related Items (6)

LAMN property for jump diffusion processes with discrete observations on a fixed time interval ⋮ Malliavin calculus techniques for local asymptotic mixed normality and their application to hypoelliptic diffusions ⋮ Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation ⋮ Estimating diffusion with compound Poisson jumps based on self-normalized residuals ⋮ Estimating functions for jump-diffusions ⋮ Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails

Cites Work

• Unnamed Item
• Convergence of Gaussian quasi-likelihood random fields for ergodic Lévy driven SDE observed at high frequency
• Asymptotic lower bounds in estimating jumps
• Exponential ergodicity for SDEs with jumps and non-Lipschitz coefficients
• LAN property for a simple Lévy process
• Quasi-likelihood analysis for the stochastic differential equation with jumps
• LAMN property for hidden processes: the case of integrated diffusions
• \(M\)-estimation for discretely observed ergodic diffusion processes with infinitely many jumps
• Estimation of parameters for diffusion processes with jumps from discrete observations
• Ergodicity and exponential \(\beta\)-mixing bounds for multidimensional diffusions with jumps
• Information bounds for inverse problems with application to deconvolution and Lévy models
• Volatility estimators for discretely sampled Lévy processes
• Exponential ergodicity of the solutions to SDE's with a jump noise
• Malliavin calculus in Lévy spaces and applications to finance.
• Local asymptotic normality for the scale parameter of stable processes.
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• LAN property for ergodic diffusions with discrete observations
• Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes
• Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes
• Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
• The Malliavin Calculus and Related Topics
• Estimation of an Ergodic Diffusion from Discrete Observations
• Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling

This page was built for publication: LAN property for an ergodic diffusion with jumps