LAN property for an ergodic diffusion with jumps

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.

Accepted for publication in Statistics

References in corpus (1)

• Efficient maximum likelihood estimation for Lévy-driven Ornstein-Uhlenbeck processes

Cited by in corpus (1)

• LAN property for an ergodic Ornstein-Uhlenbeck process with Poisson jumps