LAMN property for jump diffusion processes with discrete observations on a fixed time interval

DOI10.1016/j.jspi.2022.11.003OpenAlexW4309047372MaRDI QIDQ6101686

Hoang-Long Ngo, Ngoc Khue Tran

Publication date: 20 June 2023

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2022.11.003

zbMATH Keywords

parameter estimationMalliavin calculusjump diffusion processLAMN propertyfixed time intervalhigh frequency observation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07) Jump processes on general state spaces (60J76)

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