Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses

DOI10.1016/j.crma.2009.03.026zbMath1163.62065OpenAlexW2164560300MaRDI QIDQ1022308

Ciprian A. Tudor, Alexandra Chronopoulou, Frederi G. Viens

Publication date: 10 June 2009

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2009.03.026

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (8)

Local and implied volatilities with the mixed-modified-fractional-Dupire model ⋮ p^th Moment stability of fractional stochastic differential inclusions via resolvent operators driven by the Rosenblatt process and poisson jumps with impulses ⋮ A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter ⋮ Regularization and integral representations of Hermite processes ⋮ Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion ⋮ A strong convergence to the Rosenblatt process ⋮ Variations and Hurst index estimation for a Rosenblatt process using longer filters ⋮ Berry-Esséen Bounds for Long Memory Moving Averages via Stein's Method and Malliavin Calculus

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Stein's method on Wiener chaos
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• The Malliavin Calculus and Related Topics
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

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