Rate of convergence for the weighted Hermite variations of the fractional Brownian motion (Q2209307)
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| English | Rate of convergence for the weighted Hermite variations of the fractional Brownian motion |
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Rate of convergence for the weighted Hermite variations of the fractional Brownian motion (English)
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30 October 2020
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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)].
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weighted Hermite variation
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Malliavin calculus
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fractional Brownian motion
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0.848589301109314
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0.8479928374290466
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0.8352423310279846
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0.8339311480522156
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0.8129335641860962
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