Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
DOI10.1080/03610926.2013.819923zbMath1369.60023OpenAlexW1976862295MaRDI QIDQ4976209
Yuquan Cang, Jun-Feng Liu, Dong-Lei Tang
Publication date: 27 July 2017
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2013.819923
Malliavin calculusself-similaritystatistical estimationquadratic variationmultiple stochastic integralssubfractional Brownian motion
Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)
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