LAN property for some fractional type Brownian motion
نویسندگان
چکیده
We study asymptotic expansion of the likelihood of a certain class of Gaussian processes characterized by their spectral density fθ. We consider the case where fθ(x) ∼x→0 |x|Lθ(x) with Lθ a slowly varying function and α(θ) ∈ (−∞, 1). We prove LAN property for these models which include in particular fractional Brownian motion or ARFIMA processes.
منابع مشابه
Existence and Measurability of the Solution of the Stochastic Differential Equations Driven by Fractional Brownian Motion
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