LAN property for an ergodic diffusion with jumps
Probability
2016-09-30 v2
Abstract
In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian motion and a Poisson random measure associated with a pure-jump L\'evy process with finite L\'evy measure, whose drift coefficient depends on an unknown parameter. Considering the process discretely observed at high frequency, we derive the local asymptotic normality (LAN) property.
Cite
@article{arxiv.1506.00776,
title = {LAN property for an ergodic diffusion with jumps},
author = {Arturo Kohatsu-Higa and Eulalia Nualart and Ngoc Khue Tran},
journal= {arXiv preprint arXiv:1506.00776},
year = {2016}
}
Comments
Accepted for publication in Statistics