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We prove the local asymptotic normality for the full parameters of the normal inverse Gaussian Levy process, when we observe high-frequency and long-term data. The rates of convergence turn out to be ...of two kinds for the dominating parameters. The essential feature in our study is that the suitably normalized increments in small time is approximately Cauchy-distributed, which specifically comes out in the form of the asymptotic Fisher information matrix.続きを見る
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Mendeley出力
