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Abstract:This paper establishes the Local Asymptotic Normality (LAN) property for the mixed fractional Brownian motion under high-frequency observations with Hurst index $H \in (0, 3/4)$. The simultaneous estimation of the volatility and the Hurst index encounters a degeneracy problem in the Fisher information matrix.
From: Chunhao Cai [view email]
[v1]
Tue, 30 Dec 2025 07:35:59 UTC (859 KB)
[v2]
Wed, 5 Aug 2026 02:11:02 UTC (1 KB) (withdrawn)
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