Asymptotic behavior for bi-fractional regression models via Malliavin calculus

DOI10.1007/s11464-013-0312-zzbMath1310.60037OpenAlexW2094961479MaRDI QIDQ2258919

Litan Yan, Guang Jun Shen

Publication date: 27 February 2015

Published in: Frontiers of Mathematics in China (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11464-013-0312-z

zbMATH Keywords

Malliavin calculusregression modelbi-fractional Brownian motion

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Unnamed Item
• Unnamed Item
• Asymptotic theory for fractional regression models via Malliavin calculus
• Polar sets of multiparameter bifractional Brownian sheets
• Hausdorff measures of the image, graph and level set of bifractional Brownian motion
• On \(p\)-variation of bifractional Brownian motion
• Smoothness for the collision local times of bifractional Brownian motions
• Polar functions of multiparameter bifractional Brownian sheets
• Nonparametric estimation in a nonlinear cointegration type model
• Self-intersection local times and collision local times of bifractional Brownian motions
• Occupation densities
• Nonparametric estimation in null recurrent time series.
• The generalized Bouleau-Yor identity for a sub-fractional Brownian motion
• Sample path properties of bifractional Brownian motion
• On bifractional Brownian motion
• Wiener integrals, Malliavin calculus and covariance measure structure
• ASYMPTOTIC THEORY FOR LOCAL TIME DENSITY ESTIMATION AND NONPARAMETRIC COINTEGRATING REGRESSION
• The Malliavin Calculus and Related Topics
• Structural Nonparametric Cointegrating Regression
• MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
• ON THE COLLISION LOCAL TIME OF BIFRACTIONAL BROWNIAN MOTIONS
• Regularity of the Local Time for the d-dimensional Fractional Brownian Motion with N-parameters
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus with respect to Gaussian processes