Local Asymptotic Normality for Mixed Fractional Brownian Motion Under High-Frequency Observation

Abstract

In this paper we will consider the LAN property for both the Hurst parameter $H>3/4$ and the variance of the fractional Brownian motion plus an independent standard Brownian motion (called mixed fractional Brownian motion) with high-frequency observation. We will first remove the $H$-score linear term and orthogonalize the remainder through two non-diagonal transformations, then we can construct the CLT for the quadratic form base on $\| \cdot \|_{\mathrm{op}}/\|\cdot\|_F\to0$. At last we obtain a diagonal Gaussian LAN expansion with an explicit information matrix. Beyond the case of $H>3/4$, we also present that the $\| \cdot \|_{\mathrm{op}}/\|\cdot\|_F\to0$ method is also useful for the case of $H<3/4$ and the proof will be concise compared with the Whittle translation method. We consider that this method can be applied to this type of problem, including the fractional Ornstein-Uhlenbeck model and mixed fractional O-U process.