Variations and estimators for the selfsimilarity order through Malliavin calculus

Details Variations and estimators for the selfsimilarity order through Malliavin calculus Variations and estimators for the selfsimilarity order through Malliavin calculus

2007-09-25

arxiv.org/abs/0709.3896v3

The Annals of Probability 37, 6 (2009) 2093?2134

Mathematics

Probability

Scientific paper

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 $H\in(1/2,2/3)$.

Affiliated with

Also associated with

No associations

Rating

Variations and estimators for the selfsimilarity order through Malliavin calculus does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Variations and estimators for the selfsimilarity order through Malliavin calculus, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Variations and estimators for the selfsimilarity order through Malliavin calculus will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-626141