Local asymptotic properties for the growth rate of a jump-type CIR process

Abstract

In this paper, we consider a one-dimensional jump-type Cox–Ingersoll–Ross process driven by a Brownian motion and a subordinator, whose growth rate is an unknown parameter. Considering the process observed continuously or discretely at high frequency, we derive the local asymptotic properties for the growth rate in both ergodic and non-ergodic cases. Local asymptotic normality (LAN) is proved in the subcritical case, local asymptotic quadraticity (LAQ) is derived in the critical case, and local asymptotic mixed normality (LAMN) is shown in the supercritical case. To obtain these results, techniques of Malliavin calculus and a subtle analysis on the jump structure of the subordinator involving the amplitude of jumps and number of jumps are essentially used.