LAMN property for hidden processes : the case of integrated diffusions
Arnaud Gloter, Emmanuel Gobet (2008)
Annales de l'I.H.P. Probabilités et statistiques
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In this paper we prove the Local Asymptotic Mixed Normality (LAMN) property for the statistical model given by the observation of local means of a diffusion process . Our data are given by d() for =0, …, −1 and the unknown parameter appears in the diffusion coefficient of the process only. Although the data are neither markovian nor gaussian we can write down, with help of Malliavin calculus, an explicit expression for...