Local asymptotic normality property for fractional Gaussian noise under high-frequency observations

Alexandre Brouste; Masaaki Fukasawa

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arXiv · 1610.03694

Local asymptotic normality property for fractional Gaussian noise under high-frequency observations

Alexandre Brouste·Masaaki Fukasawa

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Abstract

Local Asymptotic Normality (LAN) property for fractional Gaussian noise under high-frequency observations is proved with a non-diagonal rate matrix depending on the parameter to be estimated. In contrast to the LAN families in the literature, non-diagonal rate matrices are inevitable.

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Alexandre Brouste, Masaaki Fukasawa. 2016-10-12. Local asymptotic normality property for fractional Gaussian noise under high-frequency observations. https://arxiv.org/abs/1610.03694

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