Asymptotic normality for a modified quadratic variation of the Hermite process

DOI10.3150/23-BEJ1627MaRDI QIDQ6201844zbMATH OpenOpenAlexWikidataFDO

Authors Antoine Ayache, Ciprian A. Tudor

Publication date 26 March 2024

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2304.10947, https://projecteuclid.org/journals/bernoulli/volume-30/issue-2/Asymptotic-normality-for-a-modified-quadratic-variation-of-the-Hermite/10.3150/23-BEJ1627.full

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)

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.

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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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