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

DOI10.1515/ROSE-2016-0001MaRDI QIDQ254476zbMATH OpenOpenAlexFDO

Authors Soufiane Aazizi, K. Es-Sebaiy

Publication date 8 March 2016

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

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

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)

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 $V_n$.

Recommendations

• 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 the sub-fractional Brownian motion
• Berry-Esseen bounds and almost sure CLT for quadratic variation of weighted fractional Brownian motion
• A simple proof of Berry-Esséen bounds for the quadratic variation of the subfractional Brownian motion
• On \(p\)-variation of bifractional Brownian motion
• Quasi-sure p-variation of fractional Brownian motion
• Berry-Esseen bounds in the Breuer-major CLT and Gebelein's inequality
• On almost sure convergence of the quadratic variation of Brownian motion.
• The quadratic variation for mixed-fractional Brownian motion
• Berry-Esséen bound of sample quantiles for \(\varphi \)-mixing random variables

Cites work

• scientific article; zbMATH DE number 2096694 (Why is no real title available?)
• A decomposition of the bifractional Brownian motion and some applications
• Almost sure central limit theorems on the Wiener space
• An extension of bifractional Brownian motion
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion
• CLT and other limit theorems for functionals of Gaussian processes
• Central limit theorems for non-linear functionals of Gaussian fields
• Convergence of integrated processes of arbitrary Hermite rank
• Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion
• Lectures on Gaussian Approximations with Malliavin Calculus
• MULTIDIMENSIONAL BIFRACTIONAL BROWNIAN MOTION: ITÔ AND TANAKA FORMULAS
• Non-central limit theorems for non-linear functional of Gaussian fields
• On bifractional Brownian motion
• Stein's method on Wiener chaos
• The Malliavin Calculus and Related Topics

Cited in

(11)

• 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
• A simple proof of Berry-Esséen bounds for the quadratic variation of the subfractional Brownian motion
• 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
• The central limit theorem for cross-variation related to the standard Brownian sheet and Berry-Esseen bounds
• Berry-Esseen bounds and almost sure CLT for quadratic variation of weighted fractional Brownian motion
• Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
• A note on parameter estimation for discretely sampled SPDEs

This page was built for publication: Berry-Esseen bounds and almost sure CLT for the quadratic variation of the bifractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q254476)