pith. sign in

arxiv: 1711.01776 · v1 · pith:I4EJCOOPnew · submitted 2017-11-06 · 🧮 math.ST · stat.TH

LAMN in a class of parametric models for null recurrent diffusion

classification 🧮 math.ST stat.TH
keywords nullrecurrentasymptoticdriftlamnlocalmodelsadditional
0
0 comments X
read the original abstract

We study statistical models for one-dimensional diffusions which are recurrent null. A first parameter in the drift is the principal one, and determines regular varying rates of convergence for the score and the information process. A finite number of other parameters, of secondary importance, introduces additional flexibility for the modelization of the drift, and does not perturb the null recurrent behaviour. Under time-continuous observation we obtain local asymptotic mixed normality (LAMN), state a local asymptotic minimax bound, and specify asymptotically optimal estimators.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.