Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation

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

zbMATH Keywords

parameter estimation; fractional Brownian motion; central limit theorem; Volterra processes; fourth-moment theorem

Mathematics Subject Classification ID

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

Related Items

Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes, Functional limit theorems for Volterra processes and applications to homogenization*, Statistical inference for Vasicek-type model driven by self-similar Gaussian processes, Rough homogenisation with fractional dynamics, Functional limit theorems for the fractional Ornstein-Uhlenbeck process, Statistical inference for Vasicek-type model driven by Hermite processes, Functional limit theorems for power series with rapid decay of moving averages of Hermite processes

Cites Work

• Unnamed Item
• Quantitative Breuer-Major theorems
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Central limit theorems for non-linear functionals of Gaussian fields
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Second-order continuous-time non-stationary Gaussian autoregression
• Central limit theorems for sequences of multiple stochastic integrals
• Normal Approximations with Malliavin Calculus
• The Malliavin Calculus and Related Topics