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Title: Fisher information for fractional Brownian motion under high-frequency sampling
Authors: Kawai, Reiichiro
First Published: 2012
Publisher: Taylor & Francis
Citation: Communications in Statistics: Theory and Methods (in press)
Abstract: We investigate the issue of the validation of the local asymptotic normality property of three characterizing parameters of the fractional Brownian motion under high-frequency discrete sampling. We prove that the local asymptotic normality property holds true for the likelihood only when at least one of the volatility parameter and the Hurst exponent is known. We provide optimal rates of convergence of the three parameters and the Fisher information matrix in closed form.
ISSN: 0361-0926
eISSN: 1532-415X
Embargo on file until: 1-Jan-10000
Version: Post-print
Status: Peer-reviewed
Type: Journal Article
Rights: Copyright © Taylor & Francis 2012. Deposited with reference to the publisher's archiving policy available on the Sherpa/RoMEO website.
Appears in Collections:Published Articles, Dept. of Mathematics

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