Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Lévy processes
نویسندگان
چکیده
منابع مشابه
Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Lévy processes
We prove the Local Asymptotic Mixed Normality property from high frequency observations, of a continuous time process solution of a stochastic differential equation driven by a pure jump Lévy process. The process is observed on the fixed time interval [0, 1] and the parameter appears in the drift coefficient only. We compute the asymptotic Fisher information and find that the rate in the LAMN p...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2015
ISSN: 0304-4149
DOI: 10.1016/j.spa.2015.01.002