• Corpus ID: 233481089

Local Asymptotic Mixed Normality via Transition Density Approximation and an Application to Ergodic Jump-Diffusion Processes

@inproceedings{Ogihara2021LocalAM,
title={Local Asymptotic Mixed Normality via Transition Density Approximation and an Application to Ergodic Jump-Diffusion Processes},
author={Teppei Ogihara and Yuma Uehara},
year={2021}
}
• Published 1 May 2021
• Mathematics
Abstract. We study sufficient conditions for local asymptotic mixed normality. We weaken the sufficient conditions in Theorem 1 of Jeganathan (Sankhyā Ser. A 1982) so that they can be applied to a wider class of statistical models including a jump-diffusion model. Moreover, we show that local asymptotic mixed normality of a statistical model generated by approximated transition density functions is implied for the original model. Together with density approximation by means of thresholding…

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