{"ID":2823938,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2512.24042","arxiv_id":"2512.24042","title":"Local Asymptotic Normality for Mixed Fractional Brownian Motion with $0\u003cH\u003c3/4$","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.","short_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.","url_abs":"https://arxiv.org/abs/2512.24042","url_pdf":"https://arxiv.org/pdf/2512.24042v1","authors":"[\"Chunhao Cai\"]","published":"2025-12-30T07:35:59Z","proceeding":"math.ST","tasks":"[\"math.ST\"]","methods":"[]","has_code":false}