• Corpus ID: 219124497

Malliavin calculus techniques for local asymptotic mixed normality and their application to degenerate diffusions

  title={Malliavin calculus techniques for local asymptotic mixed normality and their application to degenerate diffusions},
  author={Fukasawa Masaaki and Teppei Ogihara},
  journal={arXiv: Statistics Theory},
We study sufficient conditions for a local asymptotic mixed normality property of statistical models. We develop a scheme with the $L^2$ regularity condition proposed by Jeganathan [\textit{Sankhya Ser. A} \textbf{44} (1982) 173--212] so that it is applicable to high-frequency observations of stochastic processes. Moreover, by combining with Malliavin calculus techniques by Gobet [\textit{Bernoulli} \textbf{7} (2001) 899--912, 2001], we introduce tractable sufficient conditions for smooth… 

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

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© Springer-Verlag, Berlin Heidelberg New York, 1997, tous droits réservés. L’accès aux archives du séminaire de probabilités (Strasbourg) (http://portail. mathdoc.fr/SemProba/) implique l’accord avec

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