Asymptotic theory for fractional regression models via Malliavin calculus

Abstract: We study the asymptotic behavior as

n o i n f t y

of the sequence

S_{n}=sum_{i=0}^{n-1} K(n^{alpha} B^{H_{1}}_{i}) (B^{H_{2}}_{i+1}-B^{H_{2}}_{i})

where

B^{H_{1}}

and

B^{H_{2}}

are two independent fractional Brownian motions,

K

is a kernel function and the bandwidth parameter

a l p h a

satisfies certain hypotheses in terms of

H_{1}

and

H_{2}

. Its limiting distribution is a mixed normal law involving the local time of the fractional Brownian motion

B^{H_{1}}

. We use the techniques of the Malliavin calculus with respect to the fractional Brownian motion.

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