Asymptotic expansion of an estimator for the Hurst coefficient

DOI10.1007/S11203-023-09298-8arXiv2209.02919OpenAlexW4387019193MaRDI QIDQ6155087FDOQ6155087

Authors: Yuliya S. Mishura, Hayate Yamagishi, Nakahiro Yoshida 

Publication date: 16 February 2024

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Abstract: Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the distribution of Wiener functionals is applied. The effects of the asymptotic expansion are demonstrated by numerical studies.

Full work available at URL: https://arxiv.org/abs/2209.02919

zbMATH Keywords

asymptotic expansionMalliavin calculuscentral limit theoremEdgeworth expansionfractional Brownian motionHurst coefficient

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

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