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Article Dans Une Revue ESAIM: Probability and Statistics Année : 2019

LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process

Résumé

This work focuses on the local asymptotic mixed normality (LAMN) property from high frequency observations, of a continuous time process solution of a stochastic differential equation driven by a truncated α-stable process with index α ∈ (0, 2). The process is observed on the fixed time interval [0,1] and the parameters appear in both the drift coefficient and scale coefficient. This extends the results of Clément and Gloter [Stoch. Process. Appl. 125 (2015) 2316–2352] where the index α ∈ (1, 2) and the parameter appears only in the drift coefficient. We compute the asymptotic Fisher information and find that the rate in the LAMN property depends on the behavior of the Lévy measure near zero. The proof relies on the small time asymptotic behavior of the transition density of the process obtained in Clément et al.
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Dates et versions

hal-02925328 , version 1 (29-08-2020)

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Emmanuelle Clément, Arnaud Gloter, Huong Nguyen. LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process. ESAIM: Probability and Statistics, 2019, 23, pp.136-175. ⟨10.1051/ps/2018007⟩. ⟨hal-02925328⟩
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