Local asymptotic normality for normal inverse gaussian Lévy processes with high-frequency sampling
We prove the local asymptotic normality for the full parameters of the normal inverse Gaussian Lévy process , when we observe high-frequency data , ,, with sampling mesh → 0 and the terminal sampling time → ∞. The rate of convergence turns out to be (√, √, √, √) for the dominating parameter (), where stands for the heaviness of the tails, the degree of skewness, the scale, and the location. The essential feature in our study is...