Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
Statistics Theory
2016-10-13 v1 Statistics Theory
Abstract
Local Asymptotic Normality (LAN) property for fractional Gaussian noise under high-frequency observations is proved with a non-diagonal rate matrix depending on the parameter to be estimated. In contrast to the LAN families in the literature, non-diagonal rate matrices are inevitable.
Keywords
Cite
@article{arxiv.1610.03694,
title = {Local asymptotic normality property for fractional Gaussian noise under high-frequency observations},
author = {Alexandre Brouste and Masaaki Fukasawa},
journal= {arXiv preprint arXiv:1610.03694},
year = {2016}
}