Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion

Details Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion

2008-04-16

arxiv.org/abs/0804.2528v1

Mathematics

Probability

12 pages

Scientific paper

Let $q\geq 2$ be a positive integer, $B$ be a fractional Brownian motion with Hurst index $H\in(0,1)$, $Z$ be an Hermite random variable of index $q$, and $H_q$ denote the Hermite polynomial having degree $q$. For any $n\geq 1$, set $V_n=\sum_{k=0}^{n-1} H_q(B_{k+1}-B_k)$. The aim of the current paper is to derive, in the case when the Hurst index verifies $H>1-1/(2q)$, an upper bound for the total variation distance between the laws $\mathscr{L}(Z_n)$ and $\mathscr{L}(Z)$, where $Z_n$ stands for the correct renormalization of $V_n$ which converges in distribution towards $Z$. Our results should be compared with those obtained recently by Nourdin and Peccati (2007) in the case when $H<1-1/(2q)$, corresponding to the situation where one has normal approximation.

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