LAN property for an ergodic diffusion with jumps

2015/06/02 by Arturo Kohatsu‐Higa, Kohatsu-Higa, Arturo, Eulàlia Nualart +3 · 2 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Probability (math.PR) #Statistical Methods and Inference #Stochastic processes and financial applications #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1506.00776

openalex publication_date 2015/06/02 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/30

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 pure-jump Lévy process with finite Lévy measure, whose drift coefficient depends on an unknown parameter. Considering the process discretely observed at high frequency, we derive the local asymptotic normality (LAN) property.

Cited by

• LAN property for an ergodic Ornstein-Uhlenbeck process with Poisson\n jumps
• Predictive information criterion for jump diffusion processes

Related

• LAN property for a linear model with jumps
• LAN property for an ergodic Ornstein-Uhlenbeck process with Poisson\n jumps
• On the LAMN property for continuous observations of some diffusion processes with jumps
• Ergodicity of conditional McKean-Vlasov jump diffusions
• Local asymptotic normality for discretely observed McKean-Vlasov diffusions