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

DOI10.1016/j.jkss.2013.09.001zbMath1306.60063OpenAlexW2048735307MaRDI QIDQ397204

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

zbMATH Keywords

fractional Brownian motionMalliavin calculusnon-central limit theoremmultiple stochastic integralpower variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) (L^p)-limit theorems (60F25)

Cites Work

• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Central limit theorems for multiple Skorokhod integrals
• Variations and estimators for self-similarity parameters via Malliavin calculus
• 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
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
• The Malliavin Calculus and Related Topics
• Stochastic integration with respect to the fractional Brownian motion
• Analysis of the Rosenblatt process
• Stochastic calculus with respect to Gaussian processes