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Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
9 references·0 citing·42 second hop
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this work references cited by second hop

References

  • 1989Efficient Parameter Estimation for Self-Similar Processes692 cited
  • 1997Quadratic variations and estimation of the local Hölder index of a Gaussian process357 cited
  • 2001Diffusions with measurement errors. I. Local Asymptotic Normality137 cited
  • 2002Propriété LAN pour les diffusions ergodiques avec observations discrètes119 cited
  • 2001Diffusions with measurement errors. II. Optimal estimators105 cited
  • 2011Asymptotic equivalence for inference on the volatility from noisy observations87 cited
  • 2001Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach84 cited
  • 2008Fisher's Information for Discretely Sampled Lvy Processes72 cited
  • 2011Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling35 cited

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