• Corpus ID: 219124497

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

@article{Masaaki2020MalliavinCT,
  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},
  year={2020}
}
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

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

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