Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian processes

Alexandra Chronopoulou, Ciprian A. Tudor, Frederi G. Viens

Research output: Contribution to journalArticle

Abstract

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 ∈ (frac(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 et al., C. R. Acad. Sci. Paris, Ser. I 347 (2009).

Original languageEnglish (US)
Pages (from-to)663-666
Number of pages4
JournalComptes Rendus Mathematique
Volume347
Issue number11-12
DOIs
StatePublished - Jun 2009

ASJC Scopus subject areas

  • Mathematics(all)

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