Berry-Esseen bounds and almost sure CLT for the quadratic variation of the bifractional Brownian motion

DOI10.1515/ROSE-2016-0001zbMATH Open1335.60017arXiv1203.2786OpenAlexW1595042790MaRDI QIDQ254476FDOQ254476

Authors: Soufiane Aazizi, K. Es-Sebaiy 

Publication date: 8 March 2016

Published in: Random Operators and Stochastic Equations (Search for Journal in Brave)

Abstract: Let $B$ be a bifractional Brownian motion with parameters $Hin(0,1)$ and $Kin(0,1]$. For any $ngeq1$, set $$. We use the Malliavin calculus and the so-called Stein's method on Wiener chaos introduced by Nourdin and Peccati cite{NP09} to derive, in the case when $0<HKleq3/4$, Berry-Ess'een-type bounds for the Kolmogorov distance between the law of the correct renormalization $V_n$ of $Z_n$ and the standard normal law. Finally, we study almost sure central limit theorems for the sequence $V_n$.

Full work available at URL: https://arxiv.org/abs/1203.2786

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zbMATH Keywords

Malliavin calculusalmost sure central limit theoremBerry-Esseen boundsbifractional Brownian motionKolmogorov distancemultiple stochastic integralsquadratic variationWiener chaos

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Stochastic integrals (60H05)

Cites Work

• The Malliavin Calculus and Related Topics
• Convergence of integrated processes of arbitrary Hermite rank
• A decomposition of the bifractional Brownian motion and some applications
• Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion
• Central limit theorems for non-linear functionals of Gaussian fields
• On bifractional Brownian motion
• An extension of bifractional Brownian motion
• Lectures on Gaussian Approximations with Malliavin Calculus
• MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
• CLT and other limit theorems for functionals of Gaussian processes
• Non-central limit theorems for non-linear functional of Gaussian fields
• Title not available (Why is that?)
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion
• Stein's method on Wiener chaos
• Almost sure central limit theorems on the Wiener space

Cited In (8)

• Some properties of bifractional Bessel processes driven by bifractional Brownian motion
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-bifractional Brownian motion
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of a class of Gaussian process
• A central limit theorem for a weighted power variation of a Gaussian process
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion
• A Berry-Esséen bound for \(H\)-variation of a Gaussian process
• Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
• A note on parameter estimation for discretely sampled SPDEs

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