Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus (Q4976209): Difference between revisions

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scientific article; zbMATH DE number 6754416

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English	Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus	scientific article; zbMATH DE number 6754416

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instance of

scholarly article

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title

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

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Communications in Statistics - Theory and Methods

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publication date

27 July 2017

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zbMATH Keywords

subfractional Brownian motion

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multiple stochastic integrals

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Malliavin calculus

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self-similarity

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statistical estimation

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quadratic variation

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describes a project that uses

longmemo

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03610926.2013.819923

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cites work

Q4865042

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Sub-fractional Brownian motion and its relation to occupation times

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Fractional Brownian density process and its self-intersection local time of order \(k\)

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Limit theorems for occupation time fluctuations of branching systems. I: long-range dependence

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Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems

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Variations and Hurst index estimation for a Rosenblatt process using longer filters

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Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

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A series expansion of fractional Brownian motion

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Noncentral Limit Theorem for the Cubic Variation of a Class of Self-Similar Stochastic Processes

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Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift

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Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion

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The Malliavin Calculus and Related Topics

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Central limit theorems for sequences of multiple stochastic integrals

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Central limit theorems for multiple stochastic integrals and Malliavin calculus

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Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion

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Weighted power variations of iterated Brownian motion

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Stein's method on Wiener chaos

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Remarks on an integral functional driven by sub-fractional Brownian motion

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Stochastic integration with respect to the sub-fractional Brownian motion with

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Variations of the solution to a stochastic heat equation

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Variations and estimators for self-similarity parameters via Malliavin calculus

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Inner product spaces of integrands associated to subfractional Brownian motion

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Multiple sub-fractional integrals and some approximations

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On the Wiener integral with respect to a sub-fractional Brownian motion on an interval

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Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion

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On the collision local time of sub-fractional Brownian motions

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Identifiers

zbMATH Open document ID

1369.60023

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DOI

10.1080/03610926.2013.819923

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4976209

@@ Property / author @@
+Jun-Feng Liu
@@ Property / author: Jun-Feng Liu / rank @@
+Normal rank
@@ Property / author @@
+Dong-Lei Tang
@@ Property / author: Dong-Lei Tang / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+longmemo
@@ Property / describes a project that uses: longmemo / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1080/03610926.2013.819923
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+W1976862295
@@ Property / OpenAlex ID: W1976862295 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4865042
@@ Property / cites work: Q4865042 / rank @@
+Normal rank
@@ Property / cites work @@
+Sub-fractional Brownian motion and its relation to occupation times
+Normal rank
@@ Property / cites work @@
+Fractional Brownian density process and its self-intersection local time of order \(k\)
+Normal rank
@@ Property / cites work @@
+Limit theorems for occupation time fluctuations of branching systems. I: long-range dependence
+Normal rank
@@ Property / cites work @@
+Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
+Normal rank
@@ Property / cites work @@
+Variations and Hurst index estimation for a Rosenblatt process using longer filters
+Normal rank
@@ Property / cites work @@
+Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
+Normal rank
@@ Property / cites work @@
+A series expansion of fractional Brownian motion
@@ Property / cites work: A series expansion of fractional Brownian motion / rank @@
+Normal rank
@@ Property / cites work @@
+Noncentral Limit Theorem for the Cubic Variation of a Class of Self-Similar Stochastic Processes
+Normal rank
@@ Property / cites work @@
+Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
+Normal rank
@@ Property / cites work @@
+Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Central limit theorems for sequences of multiple stochastic integrals
+Normal rank
@@ Property / cites work @@
+Central limit theorems for multiple stochastic integrals and Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Weighted power variations of iterated Brownian motion
+Normal rank
@@ Property / cites work @@
+Stein's method on Wiener chaos
@@ Property / cites work: Stein's method on Wiener chaos / rank @@
+Normal rank
@@ Property / cites work @@
+Remarks on an integral functional driven by sub-fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Stochastic integration with respect to the sub-fractional Brownian motion with
+Normal rank
@@ Property / cites work @@
+Variations of the solution to a stochastic heat equation
+Normal rank
@@ Property / cites work @@
+Variations and estimators for self-similarity parameters via Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Inner product spaces of integrands associated to subfractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Multiple sub-fractional integrals and some approximations
+Normal rank
@@ Property / cites work @@
+On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
+Normal rank
@@ Property / cites work @@
+Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+On the collision local time of sub-fractional Brownian motions
+Normal rank