Estimation of quadratic variation for two-parameter diffusions

DOI10.1016/J.SPA.2008.08.006MaRDI QIDQ1016633zbMATH OpenOpenAlexFDO

Authors Anthony Réveillac

Publication date 6 May 2009

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0801.3027

zbMATH Keywords

functional limit theoremsMalliavin calculustwo-parameter stochastic processesweighted quadratic variation process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Random fields; image analysis (62M40)

Abstract: In this paper we give a central limit theorem for the weighted quadratic variations process of a two-parameter Brownian motion. As an application, we show that the discretized quadratic variations $su{m}_{i=1}^{[ns]}su{m}_{j=1}^{[nt]}|Delt{a}_{i,j}Y{|}^2$ of a two-parameter diffusion $Y=(Y_{(s,t)}{)}_{(s,t)in[0,1{]}^2}$ observed on a regular grid $G_n$ is an asymptotically normal estimator of the quadratic variation of $Y$ as $n$ goes to infinity.

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Cited in

(12)

• Estimation de Varadhan pour des diffusions à deux paremètres. (Varadhan estimator for two-parameter diffusions)
• Asymptotic behavior of the weighted cross-variation with respect to fractional Brownian sheet
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• On the convergence of two types of estimators of quadratic variation
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)

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