• 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}
}
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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