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Article

Statistical convergence of Markov experiments to diffusion limits

Konakov V., Mammen E., Woerner J.

We assume that a high frequency Markov chain runs in the background on a very fine time grid but that it is only observed on a coarser grid. This asymptotics reflects a set up occurring in the high frequency statistical analysis for financial data where diffusion approximations are used only for coarser time scales. In this paper, we show that under appropriate conditions the