LOCAL ASYMPTOTIC MIXED NORMALITY FOR SEMIMARTINGALE EXPERIMENTS

被引：28

作者：

LUSCHGY, H

机构：

[1] Institut für Mathematische Statistik, Universität Münster, Münster, W-4400

来源：

PROBABILITY THEORY AND RELATED FIELDS | 1992年 / 92卷 / 02期

关键词：

D O I：

10.1007/BF01194919

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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 processes, diffusion processes and diffusions with jumps are studied.

引用

页码：151 / 176

页数：26

共 28 条

[1] ASYMPTOTIC INFERENCE IN LEVY PROCESSES OF THE DISCONTINUOUS TYPE [J].