Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model

DOI10.15559/15-VMSTA24zbMath1352.60031arXiv1411.4499OpenAlexW1937217703MaRDI QIDQ340756

Tommi Sottinen, Ehsan Azmoodeh, Lauri Viitasaari

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1411.4499

zbMATH Keywords

asymptotic normalityMalliavin calculuscentral limit theoremquadratic variationmultiple Wiener integralsmixed Brownian-fractional Brownian modelrandomized periodogram estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65) Stochastic calculus of variations and the Malliavin calculus (60H07)

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