Asymptotic normality for a modified quadratic variation of the Hermite process

DOI10.3150/23-bej1627arXiv2304.10947OpenAlexW4366835625WikidataQ128817794 ScholiaQ128817794MaRDI QIDQ6201844

Ciprian A. Tudor, Antoine Ayache

Publication date: 26 March 2024

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2304.10947

zbMATH Keywords

asymptotic normalityfractional Brownian motionOrnstein-Uhlenbeck processstrong consistencymultiple Wiener-Itô integralsHermite processHurst index estimationStein-Malliavin calculus

Mathematics Subject Classification ID

Statistics (62-XX) Probability theory and stochastic processes (60-XX)

Cites Work

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