Optimal estimation of the rough Hurst parameter in additive noise

DOI10.1016/J.SPA.2024.104302MaRDI QIDQ6123285zbMATH OpenWikidataFDO

Authors Grégoire Szymanski

Publication date 4 March 2024

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

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://arxiv.org/abs/2205.13035

zbMATH Keywords

fractional Brownian motionhigh-frequency dataLAN propertyscaling exponentWhittle estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Abstract: We estimate the Hurst parameter $Hin(0,1)$ of a fractional Brownian motion from discrete noisy data, observed along a high frequency sampling scheme. When the intensity $a{u}_n$ of the noise is smaller in order than $n^{-H}$ we establish the LAN property with optimal rate $n^{-1/2}$. Otherwise, we establish that the minimax rate of convergence is $(n/a{u}_n^2{)}^{-1/(4H+2)}$ even when $a{u}_n$ is of order 1. Our construction of an optimal procedure relies on a Whittle type construction possibly pre-averaged, together with techniques developed in Fukasawa et al. [Is volatility rough? arXiv:1905.04852, 2019]. We establish in all cases a central limit theorem with explicit variance, extending the classical results of Gloter and Hoffmann [Estimation of the Hurst parameter from discrete noisy data. The Annals of Statistics, 35(5):1947-1974, 2007].

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Cited in

(4)

• Statistical inference for rough volatility: central limit theorems
• Statistical inference for rough volatility: minimax theory
• Nonparametric Test for Rough Volatility
• Pre-averaging fractional processes contaminated by noise, with an application to turbulence

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