Non-central limit theorem of the weighted power variations of Gaussian processes
DOI10.1016/J.JKSS.2013.09.001zbMATH Open1306.60063OpenAlexW2048735307MaRDI QIDQ397204FDOQ397204
Hyun Suk Park, Yoon Tae Kim, Iltae Kim
Publication date: 11 August 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2013.09.001
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- Limit theorems for a quadratic variation of Gaussian processes
Malliavin calculusfractional Brownian motionnon-central limit theorempower variationmultiple stochastic integral
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) (L^p)-limit theorems (60F25)
Cites Work
- The Malliavin Calculus and Related Topics
- Central limit theorems for non-linear functionals of Gaussian fields
- Stochastic integration with respect to the fractional Brownian motion
- Stochastic calculus with respect to Gaussian processes
- Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
- Central and non-central limit theorems for weighted power variations of fractional Brownian motion
- Central limit theorems for multiple Skorokhod integrals
- Analysis of the Rosenblatt process
- Variations and estimators for self-similarity parameters via Malliavin calculus
- On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
- Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
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