Modified wavelet variation for the Hermite processes

DOI10.1214/25-EJS2390MaRDI QIDQ6979855zbMATH OpenFDO

Authors Laurent Loosveldt, Ciprian A. Tudor

Publication date 23 May 2025

Published in Electronic Journal of Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-19/issue-1/Modified-wavelet-variation-for-the-Hermite-processes/10.1214/25-EJS2390.full

zbMATH Keywords

asymptotic normalitystrong consistencycentral limit theoremself-similaritywavelet analysisHermite processHurst parameter estimationStein-Malliavin calculusmultiple Wiener-Itô integrals

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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