Local asymptotic mixed normality for semimartingale experiments
Local asymptotic mixed normality for semimartingale experiments
复制标题
半鞅实验的局部渐近混合正态性
DOI：
10.1007/bf01194919
复制
发表时间：
1992
影响因子：
2
通讯作者：
H. Luschgy
中科院分区：
文献类型：
--
作者：
H. Luschgy
给出了当观测过程为半鞅且观测时间增加到无穷大时，试验局部渐近混合正态的条件。由此，我们得到了各种估计量的渐近有效性。研究了计数过程、S过程、扩散过程和带跳跃的扩散过程的几种特殊模型。
SummaryWe give conditions for local asymptotic mixed normality of experiments when the observed process is a semimartingale and the observation time increases to infinity. As a consequence we obtain asymptotic efficiency of various estimators. Several special models for counting process,s, diffusion processes and diffusions with jumps are studied.