Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion

DOI10.1016/J.SPL.2015.04.032MaRDI QIDQ894595zbMATH OpenOpenAlexFDO

Authors Yoon Tae Kim, Hyun Suk Park

Publication date 1 December 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2015.04.032

zbMATH Keywords

Malliavin calculusBerry-Esseen boundcentral limit theoremestimationfractional Brownian motionHurst parameterKolmogorov distance

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Non-Markovian processes: estimation (62M09) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• scientific article; zbMATH DE number 1086066 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Central limit theorems for non-linear functionals of Gaussian fields
• Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
• Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
• Lectures on Gaussian Approximations with Malliavin Calculus
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• Stein's method on Wiener chaos
• The Malliavin Calculus and Related Topics

Cited in

(7)

• Boundedness and convergence analysis of stochastic differential equations with Hurst Brownian motion
• The rate of convergence of the Hurst index estimate for a stochastic differential equation
• scientific article; zbMATH DE number 1995717 (Why is no real title available?)
• Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation
• Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
• A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion
• Berry-Esseen type bound of a sequence \(\left\{\frac{X_N}{Y_N}\right\}\) and its application

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