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Local asymptotic mixed normality for semimartingale experiments. (English) Zbl 0768.62067

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 processes, diffusion processes and diffusions with jumps are studied.

MSC:

62M05 Markov processes: estimation; hidden Markov models
62M09 Non-Markovian processes: estimation
62F12 Asymptotic properties of parametric estimators
62B15 Theory of statistical experiments
60G48 Generalizations of martingales
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