Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0<H<3/4$
Fuente:
arXiv
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| Autor principal: | |
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| Formato: | Preprint |
| Publicado: |
2025
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| Acceso en línea: | |
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| _version_ | 1866908740143284224 |
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| author | Cai, Chunhao |
| author_facet | Cai, Chunhao |
| contents | This paper establishes the Local Asymptotic Normality (LAN) property for the mixed fractional Brownian motion under high-frequency observations with Hurst index $H \in (0, 3/4)$. The simultaneous estimation of the volatility and the Hurst index encounters a degeneracy problem in the Fisher information matrix. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_24042 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0<H<3/4$ Cai, Chunhao Statistics Theory This paper establishes the Local Asymptotic Normality (LAN) property for the mixed fractional Brownian motion under high-frequency observations with Hurst index $H \in (0, 3/4)$. The simultaneous estimation of the volatility and the Hurst index encounters a degeneracy problem in the Fisher information matrix. |
| title | Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0<H<3/4$ |
| topic | Statistics Theory |
| url | https://arxiv.org/abs/2512.24042 |