Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation
From MaRDI portal
Publication:300780
DOI10.1007/s11203-015-9125-xzbMath1356.60036arXiv1502.03369OpenAlexW1503353587MaRDI QIDQ300780
David Nualart, Rola Zintout, Ivan Nourdin
Publication date: 29 June 2016
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.03369
parameter estimationfractional Brownian motioncentral limit theoremVolterra processesfourth-moment theorem
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05)
Related Items
Functional limit theorems for Volterra processes and applications to homogenization*, Statistical inference for Vasicek-type model driven by self-similar Gaussian processes, Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes, Statistical inference for Vasicek-type model driven by Hermite processes, Functional limit theorems for power series with rapid decay of moving averages of Hermite processes, Rough homogenisation with fractional dynamics, Functional limit theorems for the fractional Ornstein-Uhlenbeck process
Cites Work
- Unnamed Item
- Quantitative Breuer-Major theorems
- Parameter estimation for fractional Ornstein-Uhlenbeck processes
- Central limit theorems for non-linear functionals of Gaussian fields
- Statistical analysis of the fractional Ornstein--Uhlenbeck type process
- Second-order continuous-time non-stationary Gaussian autoregression
- Central limit theorems for sequences of multiple stochastic integrals
- Normal Approximations with Malliavin Calculus
- The Malliavin Calculus and Related Topics