Local asymptotic normality for mixed fractional Ornstein-Uhlenbeck process under high-frequency observation
Statistics Theory
2026-03-18 v1 Statistics Theory
Abstract
This paper consider the LAN property for the mixed O-U process under high-frequency observation when H>3/4. As considered in mixed fractional Brownian motion, we will also use the projection step to get the non-diagonal rate matrix.
Keywords
Cite
@article{arxiv.2603.16785,
title = {Local asymptotic normality for mixed fractional Ornstein-Uhlenbeck process under high-frequency observation},
author = {Chunhao Cai and Yiwu Shang and Cong Zhang},
journal= {arXiv preprint arXiv:2603.16785},
year = {2026}
}