Summary
We give conditions for local asymptotic mixed normality of experiments when the observed process is a semimartingale and the observation time increases to infinity. As a consequence we obtain asymptotic efficiency of various estimators. Several special models for counting process,s, diffusion processes and diffusions with jumps are studied.
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Research supported by a Heisenberg grant of the Deutsche Forschungsgemeinschaft
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Luschgy, H. Local asymptotic mixed normality for semimartingale experiments. Probab. Th. Rel. Fields 92, 151–176 (1992). https://doi.org/10.1007/BF01194919
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DOI: https://doi.org/10.1007/BF01194919