LAN property for some fractional type Brownian motion
Cohen, Serge · Gamboa, Fabrice · Lacaux, Céline · Loubes, Jean-Michel
Original · EN
We study asymptotic expansion of the likelihood of a certain class of Gaussian processes characterized by their spectral density fθ. We consider the case where fθx ₓ→ ₀ x-(θ)Lθ(x) with Lθ a slowly varying function and θ∈ (-∞,1). We prove LAN property for these models which include in particular fractional Brownian motion %Bαₜ, α≥ 1/2 or ARFIMA processes.
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