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

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

We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian–fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter H of the fractional part satisfies $H\in (3/4,1)$, the central limit theorem holds. In the nons...

Full description

Bibliographic Details
Main Authors: Ehsan Azmoodeh, Tommi Sottinen, Lauri Viitasaari
Format: Article
Language:English
Published: VTeX 2015-05-01
Series:Modern Stochastics: Theory and Applications
Subjects:
Central limit theorem
multiple Wiener integrals
Malliavin calculus
fractional Brownian motion
quadratic variation
randomized periodogram
Online Access:https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA24

Internet

https://vmsta.vtex.vmt/doi/10.15559/15-VMSTA24

Similar Items