LAN property for an ergodic diffusion with jumps
Author:
Affiliation:
1. Department of Mathematical Sciences, Ritsumeikan University and Japan Science and Technology Agency, Kusatsu, Japan
2. Department of Economics and Business, Universitat Pompeu Fabra and Barcelona Graduate School of Economics, Barcelona, Spain
Funder
KAKENHI
European Union programme FP7-PEOPLE-2012-CIG
JST-CREST project and the program Vietnam Overseas Scholarship Program
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/02331888.2016.1239727
Reference34 articles.
1. Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach
2. Propriété LAN pour les diffusions ergodiques avec observations discrètes
3. LAMN property for hidden processes: The case of integrated diffusions
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