Asymptotic behavior of weighted cubic variation of sub-fractional Brownian motion

DOI10.1080/03610918.2014.957849zbMATH Open1357.60058OpenAlexW2333971466MaRDI QIDQ2965567FDOQ2965567

Authors: Nenghui Kuang, Huantian Xie 

Publication date: 3 March 2017

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.957849

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zbMATH Keywords

Malliavin calculussub-fractional Brownian motionweighted cubic variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22)

Cited In (10)

• Title not available (Why is that?)
• Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
• Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-bifractional Brownian motion
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion
• Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion. II.
• Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes
• Asymptotic behavior of weighted quadratic variation of tempered fractional Brownian motion

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