Local asymptotic quadraticity of statistical experiments connected with a Heston model
We study local asymptotic properties of likelihood ratios of certain Heston models. We distinguish three cases: subcritical, critical and supercritical models. For the drift parameters, local asymptotic normality is proved in the subcritical case, only local asymptotic quadraticity is shown in the c...
Elmentve itt :
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| Dokumentumtípus: | Cikk |
| Megjelent: |
Bolyai Institute, University of Szeged
Szeged
2017
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| Sorozat: | Acta scientiarum mathematicarum
83 No. 1-2 |
| Kulcsszavak: | Matematika |
| Tárgyszavak: | |
| doi: | 10.14232/actasm-016-506-x |
| Online Access: | http://acta.bibl.u-szeged.hu/48933 |
| Tartalmi kivonat: | We study local asymptotic properties of likelihood ratios of certain Heston models. We distinguish three cases: subcritical, critical and supercritical models. For the drift parameters, local asymptotic normality is proved in the subcritical case, only local asymptotic quadraticity is shown in the critical case, while in the supercritical case not even local asymptotic quadraticity holds. For certain submodels, local asymptotic normality is proved in the critical case, and local asymptotic mixed normality is shown in the supercritical case. As a consequence, asymptotically optimal (randomized) tests are constructed in cases of local asymptotic normality. Moreover, local asymptotic minimax bound, and hence, asymptotic efficiency in the convolution theorem sense are concluded for the maximum likelihood estimators in cases of local asymptotic mixed normality. |
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| Terjedelem/Fizikai jellemzők: | 313-344 |
| ISSN: | 0001 6969 |