Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
classification
🧮 math.ST
stat.TH
keywords
asymptoticfractionalgaussianhigh-frequencylocalnoisenon-diagonalnormality
read the original abstract
Local Asymptotic Normality (LAN) property for fractional Gaussian noise under high-frequency observations is proved with a non-diagonal rate matrix depending on the parameter to be estimated. In contrast to the LAN families in the literature, non-diagonal rate matrices are inevitable.
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.