Asymptotic normality for a modified quadratic variation of the Hermite process

DOI10.3150/23-BEJ1627arXiv2304.10947OpenAlexW4366835625WikidataQ128817794 ScholiaQ128817794MaRDI QIDQ6201844FDOQ6201844

Ciprian A. Tudor, Antoine Ayache

Publication date: 26 March 2024

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We consider a modified quadratic variation of the Hermite process based on some well-chosen increments of this process. These special increments have the very useful property to be independent and identically distributed up to asymptotically negligible remainders. We prove that this modified quadratic variation satisfies a Central Limit Theorem and we derive its rate of convergence under the Wasserstein distance via Stein-Malliavin calculus. As a consequence, we construct, for the first time in the literature related to Hermite processes, a strongly consistent and asymptotically normal estimator for the Hurst parameter.

Full work available at URL: https://arxiv.org/abs/2304.10947

zbMATH Keywords

asymptotic normalitystrong consistencyOrnstein-Uhlenbeck processfractional Brownian motionHermite processHurst index estimationStein-Malliavin calculusmultiple Wiener-Itô integrals

Mathematics Subject Classification ID

Statistics (62-XX) Probability theory and stochastic processes (60-XX)

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Cited In (1)

• Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes

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