Asymptotic behavior of mixed power variations and statistical estimation in mixed models

DOI10.1007/s11203-014-9106-5zbMath1329.60102arXiv1301.0993OpenAlexW2001762402MaRDI QIDQ2350912

Yuliya S. Mishura, Georgiy M. Shevchenko, Marco E. Dozzi

Publication date: 25 June 2015

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.0993

zbMATH Keywords

Wiener processfractional Brownian motionconsistent estimatorHurst parameteralmost sure asymptotic behaviorweak asymptotic behaviorpower variations

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Strong limit theorems (60F15)

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Uses Software

• SimEstFBM

Cites Work

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