Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model

DOI10.15559/15-VMSTA24zbMATH Open1352.60031arXiv1411.4499OpenAlexW1937217703MaRDI QIDQ340756FDOQ340756

Authors: Ehsan Azmoodeh, Tommi Sottinen, Lauri Viitasaari 

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian--fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter $H$ of the fractional part satisfies $Hin(3/4,1)$, the central limit theorem holds. In the nonsemimartingale case, that is, where $Hin(1/2,3/4]$, the convergence toward the normal distribution with a nonzero mean still holds if $H=3/4$, whereas for the other values, that is, $Hin(1/2,3/4)$, the central convergence does not take place. We also provide Berry--Esseen estimates for the estimator.

Full work available at URL: https://arxiv.org/abs/1411.4499

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zbMATH Keywords

asymptotic normalityMalliavin calculuscentral limit theoremquadratic variationmultiple Wiener integralsmixed Brownian-fractional Brownian modelrandomized periodogram estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65)

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Cited In (1)

• Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion

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