LAMN in a class of parametric models for null recurrent diffusions |
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Authors: | Reinhard Höpfner Carina Zeller |
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Affiliation: | 1.Institut für Mathematik,Johannes Gutenberg Universit?t Mainz,Mainz,Germany |
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Abstract: | We study statistical models for one-dimensional diffusions which are null recurrent. A first parameter in the drift is the principal one, and determines regular varying rates of convergence for the score and the information process. A finite number of other parameters, of secondary importance, introduces additional flexibility for the modelization of the drift, and does not perturb the null recurrent behaviour. Under time-continuous observation we obtain local asymptotic mixed normality, state a local asymptotic minimax bound, and specify asymptotically optimal estimators. |
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