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

DOI10.1007/s11203-015-9125-xzbMath1356.60036arXiv1502.03369OpenAlexW1503353587MaRDI 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 estimationfractional Brownian motioncentral limit theoremVolterra processesfourth-moment theorem

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Markov processes: estimation; hidden Markov models (62M05)

Related Items (7)

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

Cites Work

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• 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

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