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Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0<H<3/4$ (2512.24042v1)
Published 30 Dec 2025 in math.ST
Abstract: This paper establishes the Local Asymptotic Normality (LAN) property for the mixed fractional Brownian motion under high-frequency observations with Hurst index $H \in (0, 3/4)$. The simultaneous estimation of the volatility and the Hurst index encounters a degeneracy problem in the Fisher information matrix.
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