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Lan property for ergodic diffusions with discrete observations

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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 languageEnglish
Pages (from-to)711-737
Number of pages27
JournalAnnales de l'institut Henri Poincare (B) Probability and Statistics
Volume38
Issue number5
DOIs
Publication statusPublished - 19 Aug 2002

Keywords

  • Ergodic diffusion process
  • LAN property
  • Log-likelihood ratio
  • Malliavin calculus
  • Parametric estimation

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