Rate of convergence for the weighted Hermite variations of the fractional Brownian motion (Q2209307)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Rate of convergence for the weighted Hermite variations of the fractional Brownian motion |
scientific article |
Statements
Rate of convergence for the weighted Hermite variations of the fractional Brownian motion (English)
0 references
30 October 2020
0 references
The authors obtain the rate of convergence in the central limit theorem for higher order weighted Hermite variation of the fractional Brownian motion. The proofs use the techniques of Malliavin calculus and the quantitative stable limit theorems in the Wiener space due to the second author et al. [Ann. Probab. 44, No. 1, 1--41 (2016; Zbl 1356.60035)].
0 references
weighted Hermite variation
0 references
Malliavin calculus
0 references
fractional Brownian motion
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references