LAN property for an ergodic diffusion with jumps

Mostra el registre complet Registre parcial de l'ítem

• dc.contributor.author Kohatsu, Arturoca
• dc.contributor.author Nualart, Eulàliaca
• dc.contributor.author Tran, Ngoc Khueca
• dc.date.accessioned 2018-05-22T09:12:13Z
• dc.date.available 2018-05-22T09:12:13Z
• dc.date.issued 2017
• dc.description.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 compound Poisson process, whose drift coefficient depends on an unknown parameter. Considering the process discretely observed at high frequency, we derive the local asymptotic normality (LAN) property.en
• dc.description.sponsorship The first author was supported by KAKENHI grant 24340022 and a JST-CREST project Mathematical structure of complex financial products and infinite dimensional analysis. Second author acknowledges support from the European Union programme FP7-PEOPLE-2012-CIG under grant agreement 333938. Third author acknowledges support from JST-CREST project and the program Vietnam Overseas Scholarship Program (Project 322) and wishes to thank Université Paris 13 for the hospitality where a part of this work was done.en
• dc.format.mimetype application/pdf
• dc.identifier.citation Kohatsu-Higa A, Nualart E, Tran NK. LAN property for an ergodic diffusion with jumps. Statistics. 2017;51(2): 419-54. DOI: 10.1080/02331888.2016.1239727
• dc.identifier.doi http://dx.doi.org/10.1080/02331888.2016.1239727
• dc.identifier.issn 0233-1888
• dc.identifier.uri http://hdl.handle.net/10230/34701
• dc.language.iso eng
• dc.publisher Taylor & Francis (Routledge)ca
• dc.relation.ispartof Statistics. 2017;51(2): 419-54.
• dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/333938
• dc.rights © Taylor & Francis. This is an electronic version of an article published in Kohatsu-Higa A, Nualart E, Tran NK. LAN property for an ergodic diffusion with jumps. Statistics. 2017;51(2):419-54. Statistics is available online at: http://www.tandfonline.com/doi/full/10.1080/02331888.2016.1239727
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.subject.keyword Asymptotic efficiencyen
• dc.subject.keyword Jump diffusion processen
• dc.subject.keyword Local asymptotic normality propertyen
• dc.subject.keyword Malliavin calculusen
• dc.title LAN property for an ergodic diffusion with jumpsca
• dc.type info:eu-repo/semantics/article
• dc.type.version info:eu-repo/semantics/acceptedVersion