Rate of convergence for the weighted Hermite variations of the fractional Brownian motion
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Publication:2209307
Abstract: In this paper we obtain a rate of convergence in the central limit theorem for high order weighted Hermite variations of the fractional Brownian motion. The proof is based on the techniques of Malliavin calculus and the quantitative stable limit theorems proved by Nourdin, Nualart and Peccati in 2016.
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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Cited in
(11)- Hsu-Robbins and Spitzer's theorems for the variations of fractional Brownian motion
- Formulas for the divergence operator in isonormal Gaussian space
- Berry-Esseen bounds and almost sure CLT for quadratic variation of weighted fractional Brownian motion
- Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
- Hermite variation of subfractional Brownian motion
- Convergence of Finite-Dimensional Laws of the Weighted Quadratic Variations Process for Some Fractional Brownian Sheets
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