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LAN property for families of distributions of solutions to Levy driven SDE's

14 August 2013
D. Ivanenko
ArXiv (abs)PDFHTML
Abstract

LAN property is proved for families of distributions, where the sample is performed by discrete time observations of Markov process X. As an application of this general result, the LAN property in the model given by discrete-time observation a solution to a Levy driven SDE is obtained.

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