Uniform LAN property of locally stable Lévy process observed at high frequency

Dmytro Ivanenko, Alexey M. Kulik, Hiroki Masuda

Suppose we have a high-frequency sample from the Lévy process of the form $X_t^{\theta }=\beta t+\gamma Z_t+U_t$, where $Z$ is a possibly asymmetric locally $\alpha$-stable Lévy process, and $U$ is a nuis…