LAMN property for multivariate inhomogeneous diffusions with discrete observations
نویسندگان
چکیده
We consider a class of multidimensional inhomogeneous diffusions whose drift coefficient depends on unknown parameter. Under some appropriate assumptions, we prove the local asymptotic mixed normality property for parameter from high-frequency observations when length observation window tends to infinity. To obtain result, use Malliavin calculus techniques and change measures. Our approach is applicable both ergodic non-ergodic diffusions.
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2022
ISSN: ['1935-7524']
DOI: https://doi.org/10.1214/22-ejs2049