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

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)

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Cited in

(10)

• scientific article; zbMATH DE number 6611612 (Why is no real title available?)
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Least squares type estimators for the drift parameters in the sub-bifractional Vasicek processes
• 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 tempered fractional Brownian motion
• Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
• 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

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