Local Asymptotic Normality for Mixed Fractional Brownian Motion with 0<H<3/4
Abstract
This paper establishes the Local Asymptotic Normality (LAN) property for the mixed fractional Brownian motion under high-frequency observations with Hurst index H ∈ (0, 3/4). The simultaneous estimation of the volatility and the Hurst index encounters a degeneracy problem in the Fisher information matrix.
0
Turn this paper into a full lesson
ArcXiv compiles a staged curriculum from this paper: 8-12 lessons across beginner → advanced, synthesised section guides, visuals, flashcards, a quiz, exercises, and on-demand deep dives per section. Grounded in the abstract, never invented.