Variations and estimators for self-similarity parameters via Malliavin calculus
From MaRDI portal
(Redirected from Publication:971934)
Abstract: Using multiple stochastic integrals and the Malliavin calculus, we analyze the asymptotic behavior of quadratic variations for a specific non-Gaussian self-similar process, the Rosenblatt process. We apply our results to the design of strongly consistent statistical estimators for the self-similarity parameter . Although, in the case of the Rosenblatt process, our estimator has non-Gaussian asymptotics for all , we show the remarkable fact that the process's data at time 1 can be used to construct a distinct, compensated estimator with Gaussian asymptotics for .
Recommendations
- Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
- Variations and Hurst index estimation for a Rosenblatt process using longer filters
- Analysis of variations for self-similar processes. A stochastic calculus approach
- Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
- Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
Cites work
- scientific article; zbMATH DE number 1808203 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 2149887 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 3085434 (Why is no real title available?)
- Analysis of the rosenblatt process
- Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
- Central limit theorems for multiple Skorokhod integrals
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Central limit theorems for non-linear functionals of Gaussian fields
- Central limit theorems for sequences of multiple stochastic integrals
- Convergence en loi des H-variations d'un processus gaussien stationnaire sur \({\mathbb{R}}\). (Convergence in law of H-variations of a stationary Gaussian process)
- Convergence of integrated processes of arbitrary Hermite rank
- Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Limit theorems for the nonlinear functional of stationary Gaussian processes
- Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift
- Multivariate normal approximation using Stein's method and Malliavin calculus
- Non-central limit theorems for non-linear functional of Gaussian fields
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Renormalized self-intersection local time for fractional Brownian motion
- Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
- Stein's method on Wiener chaos
- Stock market prices and long-range dependence
- The Malliavin Calculus and Related Topics
- Variations of the solution to a stochastic heat equation
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Weighted power variations of iterated Brownian motion
Cited in
(59)- Self-similarity/memory-length parameter estimation for non-Gaussian Hermite processes via chaos expansion
- Asymptotic behaviour for quadratic variations of non-Gaussian multiparameter Hermite random fields
- Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
- Asymptotic normality for a modified quadratic variation of the Hermite process
- Mallows Distance in VARFIMA(0,d, 0) Processes
- Asymptotic covariances for functionals of weakly stationary random fields
- On the distribution of the Rosenblatt process
- Donsker type theorem for fractional Poisson process
- A new estimator of the self-similarity exponent through the empirical likelihood ratio test
- Noncentral limit theorem for the cubic variation of a class of self-similar stochastic processes
- A weak convergence to Hermite process by martingale differences
- Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes
- A general drift estimation procedure for stochastic differential equations with additive fractional noise
- Limiting behavior of large correlated Wishart matrices with chaotic entries
- Total variation estimates in the Breuer-Major theorem
- Power variations for fractional type infinitely divisible random fields
- Approximation of the Rosenblatt process by semimartingales
- Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
- Estimation of stopping times for stopped self-similar random processes
- Fractal dimensions of the Rosenblatt process
- Wavelet methods to study the pointwise regularity of the generalized Rosenblatt process
- Weak convergence to Rosenblatt sheet
- Nonparametric estimation in fractional SDE
- A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
- Exponential behavior of neutral impulsive stochastic integro-differential equations driven by Poisson jumps and Rosenblatt process
- Classes of infinitely divisible distributions and examples
- Parameter identification for the Hermite Ornstein-Uhlenbeck process
- Analysis of variations for self-similar processes. A stochastic calculus approach
- Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
- Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
- An optimal approximation of Rosenblatt sheet by multiple Wiener integrals
- Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion
- A white noise approach to stochastic integration with respect to the Rosenblatt process
- A strong convergence to the Rosenblatt process
- Non-central limit theorem of the weighted power variations of Gaussian processes
- Drift parameter estimation in fractional diffusions driven by perturbed random walks
- Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders
- Wavelet-type expansion of the Rosenblatt process
- Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator
- Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
- On limit theory for Lévy semi-stationary processes
- Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise
- Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
- Variations and Hurst index estimation for a Rosenblatt process using longer filters
- An approximation to the Rosenblatt process using martingale differences
- Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
- Nourdin-Peccati analysis on Wiener and Wiener-Poisson space for general distributions
- Estimating self-similarity through complex variations
- Impact of correlated noises on additive dynamical systems
- Approximation of the Rosenblatt sheet
- Nonparametric estimation for i.i.d. paths of fractional SDE
- Difference based estimators and infill statistics
- Estimation of the long memory parameter in stochastic volatility models by quadratic variations
- Maximum-likelihood estimators in the mixed fractional Brownian motion
- The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications
- Statistical inference for Vasicek-type model driven by Hermite processes
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
- Global attracting sets and stability of neutral stochastic functional differential equations driven by Rosenblatt process
This page was built for publication: Variations and estimators for self-similarity parameters via Malliavin calculus
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q971934)
