Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
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Malliavin calculusmultiple stochastic integralsquadratic variationself-similaritystatistical estimationsubfractional Brownian motion
Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Asymptotic properties of parametric estimators (62F12)
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Cites work
- A series expansion of fractional Brownian motion
- Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
- Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Central limit theorems for sequences of multiple stochastic integrals
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Fractional Brownian density process and its self-intersection local time of order k
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Inner product spaces of integrands associated to subfractional Brownian motion
- Limit theorems for occupation time fluctuations of branching systems. I: long-range dependence
- Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
- Multiple sub-fractional integrals and some approximations
- Noncentral limit theorem for the cubic variation of a class of self-similar stochastic processes
- On the collision local time of sub-fractional Brownian motions
- On the Wiener integral with respect to a sub-fractional Brownian motion on an interval
- Remarks on an integral functional driven by sub-fractional Brownian motion
- Remarks on asymptotic behavior of weighted quadratic variation of subfractional Brownian motion
- Some extensions of fractional Brownian motion and sub-fractional Brownian motion related to particle systems
- Stein's method on Wiener chaos
- Stochastic integration with respect to the sub-fractional Brownian motion with
- Sub-fractional Brownian motion and its relation to occupation times
- The Malliavin Calculus and Related Topics
- Variations and estimators for self-similarity parameters via Malliavin calculus
- Variations and Hurst index estimation for a Rosenblatt process using longer filters
- Variations of the solution to a stochastic heat equation
- Weighted power variations of iterated Brownian motion
Cited in
(9)- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- The structure of autocovariance matrix of discrete time subfractional Brownian motion
- Nonparametric regression with subfractional Brownian motion via Malliavin calculus
- Power variation of subfractional Brownian motion and application
- Analysis of variations for self-similar processes. A stochastic calculus approach
- Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
- A central limit theorem associated with sub-fractional Brownian motion and an application
- Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
- Variations and estimators for self-similarity parameters via Malliavin calculus
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