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

DOI10.1007/S11203-015-9125-XzbMATH Open1356.60036arXiv1502.03369OpenAlexW1503353587MaRDI QIDQ300780FDOQ300780

Authors: Ivan Nourdin, David Nualart, Rola Zintout 

Publication date: 29 June 2016

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1502.03369

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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)

Cites Work

• The Malliavin Calculus and Related Topics
• 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
• Title not available (Why is that?)
• Quantitative Breuer-Major theorems
• Statistical analysis of the fractional Ornstein--Uhlenbeck type process
• Parameter estimation for fractional Ornstein-Uhlenbeck processes
• Second-order continuous-time non-stationary Gaussian autoregression

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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