Abstract
We consider a multidimensional elliptic diffusion Xα,β, whose drift b(α, x) and diffusion coefficients S(β, x) depend on multidimensional parameters α and β. We assume some various hypotheses on b and S, which ensure that Xα,β is ergodic, and we address the problem of the validity of the Local Asymptotic Normality (LAN in short) property for the likelihoods, when the sample is (XkΔn)0≤k≤n, under the conditions Δn → 0 and nΔn → + ∞. We prove that the LAN property is satisfied, at rate √nΔn for α and √n for β: our approach is based on a Malliavin calculus transformation of the likelihoods.
| Original language | English |
|---|---|
| Pages (from-to) | 711-737 |
| Number of pages | 27 |
| Journal | Annales de l'institut Henri Poincare (B) Probability and Statistics |
| Volume | 38 |
| Issue number | 5 |
| DOIs | |
| Publication status | Published - 19 Aug 2002 |
Keywords
- Ergodic diffusion process
- LAN property
- Log-likelihood ratio
- Malliavin calculus
- Parametric estimation
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