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Local asymptotic mixed normality for semimartingale experiments
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  • Published: June 1992

Local asymptotic mixed normality for semimartingale experiments

  • Harald Luschgy1 

Probability Theory and Related Fields volume 92, pages 151–176 (1992)Cite this article

Summary

We give conditions for local asymptotic mixed normality of experiments when the observed process is a semimartingale and the observation time increases to infinity. As a consequence we obtain asymptotic efficiency of various estimators. Several special models for counting process,s, diffusion processes and diffusions with jumps are studied.

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Authors and Affiliations

  1. Institut für Mathematische Statistik, Universität Münster, Einsteinstrasse 62, W-4400, Münster, Federal Republic of Germany

    Harald Luschgy

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  1. Harald Luschgy
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Research supported by a Heisenberg grant of the Deutsche Forschungsgemeinschaft

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Luschgy, H. Local asymptotic mixed normality for semimartingale experiments. Probab. Th. Rel. Fields 92, 151–176 (1992). https://doi.org/10.1007/BF01194919

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  • Received: 25 March 1991

  • Revised: 11 October 1991

  • Issue Date: June 1992

  • DOI: https://doi.org/10.1007/BF01194919

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Keywords

  • Stochastic Process
  • Probability Theory
  • Diffusion Process
  • Special Model
  • Mathematical Biology
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