Local asymptotic normality property for fractional Gaussian noise under high-frequency observations (1610.03694v1)

Published 12 Oct 2016 in math.ST and stat.TH

Abstract: Local Asymptotic Normality (LAN) property for fractional Gaussian noise under high-frequency observations is proved with a non-diagonal rate matrix depending on the parameter to be estimated. In contrast to the LAN families in the literature, non-diagonal rate matrices are inevitable.

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