LAN property for an ergodic diffusion with jumps |
| |
| Authors: | Arturo Kohatsu-Higa Ngoc Khue Tran |
| |
| Institution: | Department of Mathematical Sciences, Ritsumeikan University and Japan Science and Technology Agency, Kusatsu, Japan |
| |
| 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 compound Poisson process, whose drift coefficient depends on an unknown parameter. Considering the process discretely observed at high frequency, we derive the local asymptotic normality (LAN) property. |
| |
| Keywords: | Asymptotic efficiency jump diffusion process local asymptotic normality property Malliavin calculus |
|
|
