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

DOI10.1007/S11203-015-9125-XMaRDI QIDQ300780zbMATH OpenOpenAlexFDO

Authors Ivan Nourdin, David Nualart, Rola Zintout

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 estimationcentral limit theoremfractional Brownian motionVolterra processesfourth-moment theorem

Mathematics Subject Classification ID

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

Abstract: The purpose of this paper is to establish the multivariate normal convergence for the average of certain Volterra processes constructed from a fractional Brownian motion with Hurst parameter H>1/2. Some applications to parameter estimation are then discussed.

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Cites work

• scientific article; zbMATH DE number 2149887 (Why is no real title available?)
• Central limit theorems for non-linear functionals of Gaussian fields
• Central limit theorems for sequences of multiple stochastic integrals
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Quantitative Breuer-Major theorems
• Second-order continuous-time non-stationary Gaussian autoregression
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• The Malliavin Calculus and Related Topics

Cited in

(8)

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

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