Local Asymptotic Mixed Normality via Transition Density Approximation and an Application to Ergodic Jump-Diffusion Processes

Abstract. We study sufficient conditions for local asymptotic mixed normality. We weaken the sufficient conditions in Theorem 1 of Jeganathan (Sankhyā Ser. A 1982) so that they can be applied to a wider class of statistical models including a jump-diffusion model. Moreover, we show that local asymptotic mixed normality of a statistical model generated by approximated transition density functions is implied for the original model. Together with density approximation by means of thresholding techniques, we show local asymptotic normality for a statistical model of discretely observed jump-diffusion processes where the drift coefficient, diffusion coefficient, and jump structure are parametrized. As a consequence, the quasi-maximum-likelihood and Bayes-type estimators proposed in Shimizu and Yoshida (Stat. Inference Stoch. Process. 2006) and Ogihara and Yoshida (Stat. Inference Stoch. Process. 2011) are shown to be asymptotically efficient in this model. Moreover, we can construct asymptotically uniformly most powerful tests for the parameters.

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