TY - JOUR
T1 - Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian processes
AU - Chronopoulou, Alexandra
AU - Tudor, Ciprian A.
AU - Viens, Frederi G.
PY - 2009/6
Y1 - 2009/6
N2 - 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).
AB - 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).
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U2 - 10.1016/j.crma.2009.03.026
DO - 10.1016/j.crma.2009.03.026
M3 - Article
AN - SCOPUS:67349098865
SN - 1631-073X
VL - 347
SP - 663
EP - 666
JO - Comptes Rendus Mathematique
JF - Comptes Rendus Mathematique
IS - 11-12
ER -