LAN property for an ergodic diffusion with jumps
LAN property for an ergodic diffusion with jumps
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带跳跃的遍历扩散的 LAN 属性
DOI：
10.1080/02331888.2016.1239727
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发表时间：
2017
期刊：
影响因子：
1.9
通讯作者：
Tran Ngoc Khue
中科院分区：
文献类型：
--
作者：
Kohatsu-Higa Arturo;Nualart Eulalia;Tran Ngoc Khue
在本文中，我们考虑由布朗运动和与复合泊松过程相关的泊松随机测量驱动的跳跃的多维遍历扩散，其漂移系数取决于未知参数。考虑到在高频下离散观察的过程，我们推导出局部渐近正态性（LAN）属性。
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.