LAMN property for hidden processes: the case of integrated diffusions

DOI10.1214/07-AIHP111zbMath1182.62170arXiv0707.0257OpenAlexW2069700865MaRDI QIDQ731453

Emmanuel Gobet, Arnaud Gloter

Publication date: 7 October 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0707.0257

zbMATH Keywords

likelihood ratiolocal asymptotic mixed normalityconditional informationintegrated diffusion processes

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Diffusion processes (60J60) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (7)

LAN property for an ergodic diffusion with jumps ⋮ Asymptotic lower bounds in estimating jumps ⋮ 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 ⋮ Adaptive nonparametric drift estimation of an integrated jump diffusion process ⋮ LAN property for a simple Lévy process ⋮ Nonparametric adaptive estimation for integrated diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the estimation of the diffusion coefficient for multi-dimensional diffusion processes
• Criteria of positivity for the density of the law of a Wiener functional
• Properties of the set of positivity for the density of a regular Wiener functional
• Lower bounds for densities of uniformly elliptic random variables on Wiener space
• Asymptotics in statistics. Some basic concepts.
• Local asymptotic mixed normality property for elliptic diffusion: A Malliavin calculus approach
• LAN property for ergodic diffusions with discrete observations
• Parameter estimation for discretely observed stochastic volatility models
• Discrete sampling of an integrated diffusion process and parameter estimation of the diffusion coefficient
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Parameter estimation for a discrete sampling of an intergrated Ornstein-Uhlenbeck process
• Diffusions with measurement errors. I. Local Asymptotic Normality
• Inference for Observations of Integrated Diffusion Processes
• On estimating the diffusion coefficient

This page was built for publication: LAMN property for hidden processes: the case of integrated diffusions