LAN property for an ergodic diffusion with jumps |
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Authors: | Arturo Kohatsu-Higa Ngoc Khue Tran |
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Affiliation: | Department of Mathematical Sciences, Ritsumeikan University and Japan Science and Technology Agency, Kusatsu, Japan |
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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. |
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Keywords: | Asymptotic efficiency jump diffusion process local asymptotic normality property Malliavin calculus |
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