LAN Property for the Drift and Hurst Paramters in The Mixed Fractional O-U Process with Continuous Observations
Probability
2025-10-21 v1
Abstract
This paper deals with the Local Asymptotical normality for the joint drift parameter and Hurst parameter in the mixed fractional Ornstein-Uhlenbeck process. Different from the only estimation of the drift parameter when is known, we will use the fact that the mixed fractional Brownian motion is a semimartingale with its own filtering when .
Keywords
Cite
@article{arxiv.2510.17233,
title = {LAN Property for the Drift and Hurst Paramters in The Mixed Fractional O-U Process with Continuous Observations},
author = {Chunhao Cai and Cong Zhang},
journal= {arXiv preprint arXiv:2510.17233},
year = {2025}
}