LAMN in a class of parametric models for null recurrent diffusion
classification
🧮 math.ST
stat.TH
keywords
nullrecurrentasymptoticdriftlamnlocalmodelsadditional
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.