Berry-Esséen Bounds for Long Memory Moving Averages via Stein's Method and Malliavin Calculus
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Publication:3094226
DOI10.1080/07362994.2011.598799zbMath1236.60022arXiv1009.1217OpenAlexW2098247067MaRDI QIDQ3094226
Ciprian A. Tudor, Solesne Bourguin
Publication date: 21 October 2011
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1009.1217
weak convergenceMalliavin calculuslong memorylimit theoremsmoving averagemultiple stochastic integrals
Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)
Related Items (1)
Cites Work
- Central and non-central limit theorems for weighted power variations of fractional Brownian motion
- Stein's method on Wiener chaos
- Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis
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- Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
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