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In this paper we prove the Local Asymptotic Mixed Normality (LAMN) propertyfor the statistical model given by the observation of local means of adiffusion process $X$. Our data are given by $ \int_0^1 X_{\frac{s+i}{n}} \dd\mu (s)$ for $i=0,...,n-1$ and the unknown parameter appears in the diffusioncoefficient of the process $X$ only. Although the data are nor Markovianneither Gaussian we can write down, with help of Malliavin calculus, anexplicit expression for the log-likelihood of the model, and then study theasymptotic expansion. We actually find that the asymptotic information of thismodel is the same one as for a usual discrete sampling of $X$.

LAMN property for hidden processes: the case of integrated diffusions