Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation
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Publication:300780
DOI10.1007/s11203-015-9125-xzbMath1356.60036arXiv1502.03369MaRDI QIDQ300780
David Nualart, Rola Zintout, Ivan Nourdin
Publication date: 29 June 2016
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1502.03369
parameter estimation; fractional Brownian motion; central limit theorem; Volterra processes; fourth-moment theorem
62F12: Asymptotic properties of parametric estimators
60F05: Central limit and other weak theorems
60G22: Fractional processes, including fractional Brownian motion
62M05: Markov processes: estimation; hidden Markov models
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