LAN property for some fractional type Brownian motion

被引：0

作者：

Cohen, Serge ^{[1
]}

Gamboa, Fabrice ^{[1
]}

Lacaux, Celine ^{[2
,3
]}

Loubes, Jean-Michel ^{[1
]}

机构：

[1] Inst Math Toulouse, UMR 5219, F-31062 Toulouse 9, France

[2] Univ Lorraine, IECL, Inst Elie Carton, UMR 7502, Vandoeuvre Les Nancy, France

[3] Inria, F-54600 Villers Les Nancy, France

来源：

ALEA-LATIN AMERICAN JOURNAL OF PROBABILITY AND MATHEMATICAL STATISTICS | 2013年 / 10卷 / 01期

关键词：

Asymptotic Statistics; Maximum Likelihood expansion; Fractional Brownian motion; LOCAL ASYMPTOTIC NORMALITY; PARAMETER; STATIONARY;

D O I：

暂无

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 study asymptotic expansion of the likelihood of a certain class of Gaussian processes characterized by their spectral density f(theta). We consider the case where f(theta)(x) similar to(x -> 0) vertical bar x vertical bar L--alpha(theta)(theta)(x) with L-theta a slowly varying function and alpha(theta) is an element of (-infinity, 1). We prove LAN property for these models which include in particular fractional Brownian motion or ARFIMA processes.

引用

页码：91 / 106

页数：16

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