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
收藏
页码：151 / 176
页数：26
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