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

DOI10.15559/15-VMSTA24MaRDI QIDQ340756zbMATH OpenOpenAlexFDO

Authors Ehsan Azmoodeh, Tommi Sottinen, Lauri Viitasaari

Publication date 15 November 2016

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

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

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)

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.

Recommendations

• Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion
• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
• Asymptotic behavior of mixed power variations and statistical estimation in mixed models
• A central limit theorem associated with sub-fractional Brownian motion and an application

Cites work

• scientific article; zbMATH DE number 3721834 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 5220411 (Why is no real title available?)
• A general version of the fundamental theorem of asset pricing
• Central limit theorem for the realized volatility based on tick time sampling
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Central limit theorems for sequences of multiple stochastic integrals
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• Financial risk measurement and management
• Fractional processes as models in stochastic finance
• Integration questions related to fractional Brownian motion
• Introduction to stochastic calculus for finance. A new didactic approach.
• Irregular sampling and central limit theorems for power variations: the continuous case
• Mixed Brownian–fractional Brownian model: absence of arbitrage and related topics
• Mixed fractional Brownian motion
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Pricing by hedging and no-arbitrage beyond semimartingales
• Robust option replication for a Black-Scholes model extended with nondeterministic trends
• Spectral characterization of the optimal quadratic variation process
• Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion
• The Malliavin Calculus and Related Topics
• The fundamental theorem of asset pricing for unbounded stochastic processes

Cited in

(1)

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

This page was built for publication: Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q340756)