Variations and estimators for self-similarity parameters via Malliavin calculus

DOI10.1214/09-AOP459zbMATH Open1196.60036arXiv0709.3896OpenAlexW1634894495MaRDI QIDQ971934FDOQ971934

Authors: Ciprian A. Tudor, Frederi Viens 

Publication date: 17 May 2010

Published in: The Annals of Probability (Search for Journal in Brave)

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 $H$. Although, in the case of the Rosenblatt process, our estimator has non-Gaussian asymptotics for all $H>1/2$, 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 $Hin(1/2,2/3)$.

Full work available at URL: https://arxiv.org/abs/0709.3896

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

zbMATH Keywords

Malliavin calculusRosenblatt processHermite processnoncentral limit theorem

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18)

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
• Title not available (Why is that?)
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Convergence of integrated processes of arbitrary Hermite rank
• Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion
• Central limit theorems for non-linear functionals of Gaussian fields
• Central limit theorems for sequences of multiple stochastic integrals
• Title not available (Why is that?)
• Non-central limit theorems for non-linear functional of Gaussian fields
• Stein's method on Wiener chaos
• Title not available (Why is that?)
• Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
• Weighted power variations of iterated Brownian motion
• Stock market prices and long-range dependence
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Title not available (Why is that?)
• Central limit theorems for multiple Skorokhod integrals
• Analysis of the rosenblatt process
• 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)
• Multivariate normal approximation using Stein's method and Malliavin calculus
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
• Variations of the solution to a stochastic heat equation
• Limit theorems for the nonlinear functional of stationary Gaussian processes
• Renormalized self-intersection local time for fractional Brownian motion
• Limits for weighted \(p\)-variations and likewise functionals of fractional diffusions with drift

Cited In (59)

• Self-similarity/memory-length parameter estimation for non-Gaussian Hermite processes via chaos expansion
• Mallows Distance in VARFIMA(0,d, 0) Processes
• Asymptotic behaviour for quadratic variations of non-Gaussian multiparameter Hermite random fields
• Asymptotic normality for a modified quadratic variation of the Hermite process
• Parameter estimation and singularity of laws on the path space for SDEs driven by Rosenblatt processes
• Asymptotic covariances for functionals of weakly stationary random fields
• Noncentral limit theorem for the cubic variation of a class of self-similar stochastic processes
• Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes
• Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
• Wavelet methods to study the pointwise regularity of the generalized Rosenblatt process
• Weak convergence to Rosenblatt sheet
• 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
• A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
• Statistical inference for Vasicek-type model driven by Hermite processes
• Estimation of stopping times for stopped self-similar random processes
• Nonparametric estimation in fractional SDE
• Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
• A strong convergence to the Rosenblatt process
• Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator
• A least square-type procedure for parameter estimation in stochastic differential equations with additive fractional noise
• Nonparametric estimation for i.i.d. paths of fractional SDE
• Nourdin-Peccati analysis on Wiener and Wiener-Poisson space for general distributions
• Difference based estimators and infill statistics
• On the distribution of the Rosenblatt process
• Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
• Classes of infinitely divisible distributions and examples
• Estimation of the long memory parameter in stochastic volatility models by quadratic variations
• Projection estimators of the stationary density of a differential equation driven by the fractional Brownian motion
• Wavelet-type expansion of the Rosenblatt process
• Impact of correlated noises on additive dynamical systems
• Approximation of the Rosenblatt sheet
• Least squares estimation for the drift parameters in the sub-fractional Vasicek processes
• Donsker type theorem for fractional Poisson process
• An approximation to the Rosenblatt process using martingale differences
• An optimal approximation of Rosenblatt sheet by multiple Wiener integrals
• A new estimator of the self-similarity exponent through the empirical likelihood ratio test
• Analysis of variations for self-similar processes. A stochastic calculus approach
• 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
• A weak convergence to Hermite process by martingale differences
• Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
• A white noise approach to stochastic integration with respect to the Rosenblatt process
• On limit theory for Lévy semi-stationary processes
• A general drift estimation procedure for stochastic differential equations with additive fractional noise
• Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
• The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications
• Exponential behavior of neutral impulsive stochastic integro-differential equations driven by Poisson jumps and Rosenblatt process
• Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise
• Variations and Hurst index estimation for a Rosenblatt process using longer filters
• Maximum-likelihood estimators in the mixed fractional Brownian motion
• Estimating self-similarity through complex variations
• Global attracting sets and stability of neutral stochastic functional differential equations driven by Rosenblatt process
• Parameter identification for the Hermite Ornstein-Uhlenbeck process
• Fractal dimensions of the Rosenblatt process
• Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
• Approximation of the Rosenblatt process by semimartingales

Uses Software

• longmemo

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)