LOCAL ASYMPTOTIC MIXED NORMALITY FOR SEMIMARTINGALE EXPERIMENTS

被引：27

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 50 条

[31] Asymptotic power of tests of normality under local alternatives
Quessy, Jean-Francois
Mailhot, Melina
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2011, 141 (08) : 2787 - 2802
[32] Conditions of Local Asymptotic Normality for Gaussian Stationary Processes
V. N. Solev
A. Zerbet
Journal of Mathematical Sciences, 2003, 118 (6) : 5635 - 5649
[33] Local Asymptotic Normality in Extreme Value Index Estimation
Frank Marohn
Annals of the Institute of Statistical Mathematics, 1997, 49 : 645 - 666
[34] NULL RECURRENT BIRTH-AND-DEATH PROCESSES, LIMITS OF CERTAIN MARTINGALES, AND LOCAL ASYMPTOTIC MIXED NORMALITY
HOPFNER, R
SCANDINAVIAN JOURNAL OF STATISTICS, 1990, 17 (03) : 201 - 215
[35] LOCAL ASYMPTOTIC NORMALITY FOR MULTIVARIATE LINEAR-PROCESSES
WANG, XB
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1994, 49 (02) : 331 - 345
[36] Local asymptotic normality in extreme value index estimation
Marohn, F
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 1997, 49 (04) : 645 - 666
[37] Local asymptotic mixed normality for discretely observed non-recurrent Ornstein-Uhlenbeck processes
Shimizu, Yasutaka
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS, 2012, 64 (01) : 193 - 211
[38] Asymptotic normality of posterior distributions for generalized linear mixed models
Baghishani, Hossein
Mohammadzadeh, Mohsen
JOURNAL OF MULTIVARIATE ANALYSIS, 2012, 111 : 66 - 77
[39] Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Levy processes
Clement, Emmanuelle
Gloter, Arnaud
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2015, 125 (06) : 2316 - 2352
[40] Information processes for semimartingale experiments
Dzhaparidze, K
Spreij, P
Valkeila, E
ANNALS OF PROBABILITY, 2003, 31 (01): : 216 - 243

← 1 2 3 4 5 →