Non-central limit theorem of the weighted power variations of Gaussian processes

DOI10.1016/J.JKSS.2013.09.001MaRDI QIDQ397204zbMATHOpenAlexFDO

Authors Iltae Kim, Hyun Suk Park, Yoon Tae 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

zbMATH Keywords

Malliavin calculusfractional Brownian motionnon-central limit theorempower variationmultiple stochastic integral

Mathematics Subject Classification ID

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)

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Cites work

• Analysis of the rosenblatt process
• 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
• Central limit theorems for non-linear functionals of Gaussian fields
• 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
• Stochastic calculus with respect to Gaussian processes
• Stochastic integration with respect to the fractional Brownian motion
• The Malliavin Calculus and Related Topics
• Variations and estimators for self-similarity parameters via Malliavin calculus

Cited in

(7)

• A central limit theorem for a weighted power variation of a Gaussian process
• Asymptotics of the cross-variation of Young integrals with respect to a general self-similar Gaussian process
• Discrete rough paths and limit theorems
• An almost sure limit theorem for Wick powers of Gaussian differences quotients
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Weighted power variation of integrals with respect to a Gaussian process
• New central limit theorems for functionals of Gaussian processes and their applications

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