Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian processes
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چکیده
Using multiple Wiener-Itô stochastic integrals and Malliavin calculus we study the rescaled quadratic variations of a general Hermite process of order q with long-memory (Hurst) parameter H 2 ( 1 2 ; 1). We apply our results to the construction of a strongly consistent estimator for H. It is shown that the estimator is asymptotically non-normal, and converges in the mean-square, after normalization, to a standard Rosenblatt random variable. To cite this article: A. Chronopoulou, C. A. Tudor, F. G. Viens, C. R. Math ematique, xxx (2009).
منابع مشابه
Application of Malliavin calculus and analysis on Wiener space to long-memory parameter estimation for non-Gaussian processes
Using multiple Wiener-Itô stochastic integrals and Malliavin calculus we study the rescaled quadratic variations of a general Hermite process of order q with long-memory (Hurst) parameter H 2 ( 1 2 ; 1). We apply our results to the construction of a strongly consistent estimator for H. It is shown that the estimator is asymptotically non-normal, and converges in the mean-square, after normaliza...
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تاریخ انتشار 2009