Central and non-central limit theorems for weighted power variations of fractional Brownian motion (Q629788): Difference between revisions

The authors consider central and non-central limit theorems for weighted Hermite variations of fractional Brownian motion, which extend and unify existing limit theorems for Brownian motion and fractional Brownian motion with \(H\neq 0.5\). They study the limiting behaviour of \(\sum_{k=1}^{2^n} f(B_{(k-1)2^{-n}})H_q\left(2^{nH}(B_{k2^{-n}}-B_{(k-1)2^{-n}})\right)\), where \(B\) denotes a fractional Brownian motion with Hurst parameter \(H\in (0,1)\), \(f\) is a sufficiently regular function, \(H_q(\cdot)\) denotes the Hermite polynomial of integer order \(q\geq 2\). Depending on the relationship between \(H\) and \(q\) the limits possess a different structure, namely, for \(\frac{1}{2q}<H<1-\frac{1}{2q}\), it is a conditionally Gaussian distribution, for \(H<\frac{1}{2q}\), it only depends on the fractional Brownian motion and, for \(H>1-\frac{1}{2q}\), it is an integral with respect to a Hermite process of the order \(q\). As a corollary, the results for the \(q\)-th power variation of fractional Brownian motion are obtained. The main tool of the proof is Malliavin calculus, especially Wiener chaos expansion.