LAN property for an ergodic diffusion with jumps
| dc.contributor.author | Kohatsu, Arturo | ca |
| dc.contributor.author | Nualart, Eulàlia | ca |
| dc.contributor.author | Tran, Ngoc Khue | ca |
| 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 efficiency | en |
| dc.subject.keyword | Jump diffusion process | en |
| dc.subject.keyword | Local asymptotic normality property | en |
| dc.subject.keyword | Malliavin calculus | en |
| dc.title | LAN property for an ergodic diffusion with jumps | ca |
| dc.type | info:eu-repo/semantics/article | |
| dc.type.version | info:eu-repo/semantics/acceptedVersion |