Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion (Q410231): Difference between revisions

Summary: We first present two convergence results for the second-order quadratic variations of asubfractional Brownian motion: the first is a deterministic asymptotic expansion; the second is a central limit theorem. Next we combine these results and concentration inequalities to build confidence intervals for the self-similarity parameter associated with one-dimensional subfractional Brownian motions.

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Mathematics Subject Classification ID

62M05

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convergence

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Wikidata QID

Q58696834

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1155/2012/804942

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OpenAlex ID

W1964348843

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cites work

Stochastic calculus with respect to Gaussian processes

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The Malliavin Calculus and Related Topics

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Sub-fractional Brownian motion and its relation to occupation times

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

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

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

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Some properties of the sub-fractional Brownian motion

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Multiple sub-fractional integrals and some approximations

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Inner product spaces of integrands associated to subfractional Brownian motion

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Q3629282

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

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On the collision local time of sub-fractional Brownian motions

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Q2787467

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Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses

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Q3581693

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Variations and estimators for self-similarity parameters via Malliavin calculus

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Exact confidence intervals for the Hurst parameter of a fractional Brownian motion

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Density formula and concentration inequalities with Malliavin calculus

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Stein's method on Wiener chaos

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Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes

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Sitelinks

Mathematics(1 entry)

mardi Publication:410231

@@ Property / author @@
-Jun-Feng Liu
@@ Property / author: Jun-Feng Liu / rank @@
-Normal rank
@@ Property / author @@
+Jun-Feng Liu
@@ Property / author: Jun-Feng Liu / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1155/2012/804942
+Normal rank
@@ Property / OpenAlex ID @@
+W1964348843
@@ Property / OpenAlex ID: W1964348843 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic calculus with respect to Gaussian processes
+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 @@
+Sub-fractional Brownian motion and its relation to occupation times
+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 @@
+Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Some properties of the sub-fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Multiple sub-fractional integrals and some approximations
+Normal rank
@@ Property / cites work @@
+Inner product spaces of integrands associated to subfractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Q3629282
@@ Property / cites work: Q3629282 / rank @@
+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 @@
+On the collision local time of sub-fractional Brownian motions
+Normal rank
@@ Property / cites work @@
+Q2787467
@@ Property / cites work: Q2787467 / rank @@
+Normal rank
@@ Property / cites work @@
+Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
+Normal rank
@@ Property / cites work @@
+Q3581693
@@ Property / cites work: Q3581693 / rank @@
+Normal rank
@@ Property / cites work @@
+Variations and estimators for self-similarity parameters via Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Density formula and concentration inequalities with Malliavin calculus
+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 @@
+Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:410231