Abstract Local Asymptotic Normality (LAN) property for fractional Gaussian noise under high-
frequency observations is proved with nondiagonal rate matrices depending on the …

We address estimation of parametric coefficients of a pure-jump Lévy driven univariate
stochastic differential equation (SDE) model, which is observed at high frequency over a …

Efficient estimation of a non-Gaussian stable Lévy process with drift and symmetric jumps
observed at high frequency is considered. For this statistical experiment, the local asymptotic …

In this article, we consider an ergodic Ornstein–Uhlenbeck process with jumps driven by a
Brownian motion and a compensated Poisson process, whose drift and diffusion coefficients …

This paper is concerned with parametric inference for a stochastic differential equation
driven by a pure-jump Lévy process, based on high frequency observations on a fixed time …

This work focuses on the local asymptotic mixed normality (LAMN) property from high
frequency observations, of a continuous time process solution of a stochastic differential …

In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a
Brownian motion and a Poisson random measure associated with a compound Poisson …

Suppose we have a high-frequency sample from the L\'{e} vy process of the form $
X_t^\theta=\beta t+\gamma Z_t+ U_t $, where $ Z $ is a possibly asymmetric locally $\alpha …

Local asymptotic normality for ergodic jump-diffusion processes via transition density
approximation Page 1 Bernoulli 29(3), 2023, 2342–2366 https://doi.org/10.3150/22-BEJ1544 …

In this paper, we consider parametric Bayesian inference for stochastic differential equations
driven by a pure‐jump stable Lévy process, which is observed at high frequency. In most …