Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion

DOI10.1007/s11203-020-09220-6zbMath1450.62042OpenAlexW3041855053MaRDI QIDQ2194056

Ciprian A. Tudor, Nakahiro Yoshida

Publication date: 25 August 2020

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-020-09220-6

zbMATH Keywords

asymptotic expansionquadratic variationmixed fractional Brownian motion

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Fractional processes, including fractional Brownian motion (60G22)

Related Items (4)

High order asymptotic expansion for Wiener functionals ⋮ Asymptotic expansion and estimates of Wiener functionals ⋮ Asymptotic expansion of an estimator for the Hurst coefficient ⋮ Order estimate of functionals related to fractional Brownian motion

Cites Work

• Edgeworth expansion for functionals of continuous diffusion processes
• Central limit theorems for non-linear functionals of Gaussian fields
• Mixed fractional Brownian motion
• Parameter estimation in fractional diffusion models
• Martingale expansion in mixed normal limit
• Asymptotic expansion for vector-valued sequences of random variables with focus on Wiener chaos
• Asymptotic expansion of Skorohod integrals
• Edgeworth expansion for the pre-averaging estimator
• Analysis of Variations for Self-similar Processes
• Optimal Berry-Esseen rates on the Wiener space: the barrier of third and fourth cumulants
• Normal Approximations with Malliavin Calculus
• The Malliavin Calculus and Related Topics

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