The nonparametric LAN expansion for discretely observed diffusions

15 Apr 2019 Wang Sven

Consider a scalar reflected diffusion $(X_t:t\geq 0)$, where the unknown drift function $b$ is modelled nonparametrically. We show that in the low frequency sampling case, when the sample consists of $(X_0,X_\Delta,...,X_{n\Delta})$ for some fixed sampling distance $\Delta>0$, the model satisfies the local asymptotic normality (LAN) property, assuming that $b$ satisfies some mild regularity assumptions... (read more)

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  • STATISTICS THEORY
  • STATISTICS THEORY