LAN property for some fractional type Brownian motion

Details LAN property for some fractional type Brownian motion LAN property for some fractional type Brownian motion

2011-11-04

arxiv.org/abs/1111.1077v1

Mathematics

Statistics Theory

Scientific paper

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 $f_\theta\PAR{x} \sim_{x\to 0} \ABS{x}^{-\al(\theta)}L_\theta(x)$ with $L_\theta$ a slowly varying function and $\al\PAR{\theta}\in (-\infty,1)$. We prove LAN property for these models which include in particular fractional Brownian motion %$B^\alpha_t,\: \alpha \geq 1/2$ or ARFIMA processes.

Affiliated with

Also associated with

No associations

Rating

LAN property for some fractional type Brownian motion does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with LAN property for some fractional type Brownian motion, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and LAN property for some fractional type Brownian motion will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-100750