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

DOI10.1016/J.SPL.2015.04.032zbMATH Open1330.60045OpenAlexW2177835036MaRDI QIDQ894595FDOQ894595

Hyun Suk Park, Yoon Tae Kim

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)

Cites Work

• Title not available (Why is that?)
• The Malliavin Calculus and Related Topics
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Central limit theorems for non-linear functionals of Gaussian fields
• Lectures on Gaussian Approximations with Malliavin Calculus
• Stein's method on Wiener chaos
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• Title not available (Why is that?)
• 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
• Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size

Cited In (5)

• Title not available (Why is that?)
• Berry-Esseen type bound of a sequence \(\left\{\frac{X_N}{Y_N}\right\}\) and its application
• A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion
• Title not available (Why is that?)
• Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method

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