文章基本信息

标题：LAN property for some fractional type Brownian motion
本地全文：下载
作者：Serge Cohen ; Fabrice Gamboa ; Céline Lacaux 等
期刊名称：Latin American Journal of Probability and Mathematical Statistics
电子版ISSN：1980-0436
出版年度：2013
卷号：X
页码：91-106
出版社：Instituto Nacional De Matemática Pura E Aplicada
摘要：We study asymptotic expansion of the likelihood of a certain class ofGaussian processes characterized by their spectral density fθ. We consider the casewhere fθ(x) ∼x→0 |x|−α(θ)Lθ(x) with Lθ a slowly varying function and α(θ) ∈ (−∞, 1). We prove LAN property for these models which include in particularfractional Brownian motion or ARFIMA processes.
关键词：Asymptotic Statistics; Maximum Likelihood expansion; Fractional;Brownian motion.