Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
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Publication:459482
DOI10.1016/J.JKSS.2011.08.002zbMATH Open1296.60143OpenAlexW2061447969MaRDI QIDQ459482FDOQ459482
Authors: Litan Yan, Junfeng Liu 
Publication date: 13 October 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.2011.08.002
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Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22)
Cites Work
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- 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
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- Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
Cited In (23)
- Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
- Nonparametric regression with subfractional Brownian motion via Malliavin calculus
- Least squares estimator for \(\alpha\)-sub-fractional bridges
- Title not available (Why is that?)
- On the self-intersection local time of subfractional Brownian motion
- Stochastic integration with respect to the sub-fractional Brownian motion with
- Estimators for the Drift of Subfractional Brownian Motion
- A simple proof of Berry-Esséen bounds for the quadratic variation of the subfractional Brownian motion
- Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion
- Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
- Asymptotic behavior of weighted cubic variation of sub-fractional Brownian motion
- Asymptotic behavior of the weighted cross-variation with respect to fractional Brownian sheet
- The \(\mathcal S\)-transform of sub-fBm and an application to a class of linear subfractional BSDEs
- Hermite variation of subfractional Brownian motion
- Asymptotic behavior for bi-fractional regression models via Malliavin calculus
- Asymptotic behavior of weighted quadratic variation of bi-fractional Brownian motion
- The generalized Bouleau-Yor identity for a sub-fractional Brownian motion
- Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
- Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
- On the convergence to the multiple subfractional Wiener-Itō integral
- An approximation of subfractional Brownian motion
- Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
- Asymptotic behavior of weighted quadratic variation of tempered fractional Brownian motion
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