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arXiv · 2603.16785

Local asymptotic normality for mixed fractional Ornstein-Uhlenbeck process under high-frequency observation

Chunhao Cai·Yiwu Shang·Cong Zhang
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Abstract

This paper consider the LAN property for the mixed O-U process under high-frequency observation when H>3/4. As considered in mixed fractional Brownian motion, we will also use the projection step to get the non-diagonal rate matrix.

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Chunhao Cai, Yiwu Shang, Cong Zhang. 2026-03-17. Local asymptotic normality for mixed fractional Ornstein-Uhlenbeck process under high-frequency observation. https://arxiv.org/abs/2603.16785

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