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

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• 作者：Alex ; ra Chronopoulou ; Ciprian A. Tudor ; Frederi G. Viens
• 刊名：Comptes Rendus Mathematique
• 出版年：2009
• 出版时间：June 2009
• 年：2009
• 卷：347
• 期：11-12
• 页码：663-666
• 全文大小：130 K

文摘

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 . 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).