Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0<H<3/4$
Statistics Theory
2026-01-01 v1 Statistics Theory
Abstract
This paper establishes the Local Asymptotic Normality (LAN) property for the mixed fractional Brownian motion under high-frequency observations with Hurst index . The simultaneous estimation of the volatility and the Hurst index encounters a degeneracy problem in the Fisher information matrix.
Keywords
Cite
@article{arxiv.2512.24042,
title = {Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0<H<3/4$},
author = {Chunhao Cai},
journal= {arXiv preprint arXiv:2512.24042},
year = {2026}
}