Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus

DOI10.1080/03610926.2013.819923zbMath1369.60023OpenAlexW1976862295MaRDI QIDQ4976209

Yuquan Cang, Jun-Feng Liu, Dong-Lei Tang

Publication date: 27 July 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.819923

zbMATH Keywords

Malliavin calculusself-similaritystatistical estimationquadratic variationmultiple stochastic integralssubfractional Brownian motion

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Related Items (4)

Least squares estimation for the drift parameters in the sub-fractional Vasicek processes ⋮ Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion ⋮ The structure of autocovariance matrix of discrete time subfractional Brownian motion ⋮ Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation

Uses Software

• longmemo

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