Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus

被引：3

作者：

Liu, Junfeng ^{[1
]}

Tang, Donglei ^{[2
]}

Cang, Yuquan ^{[1
]}

机构：

[1] Nanjing Audit Univ, Dept Stat, Nanjing, Jiangsu, Peoples R China

[2] Nanjing Audit Univ, Dept Math, Nanjing, Jiangsu, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2017年 / 46卷 / 07期

基金：

中国博士后科学基金;

关键词：

Subfractional Brownian motion; multiple stochastic integral; Malliavin calculus; quadratic variation; selfsimilarity; statistical estimation; MULTIPLE STOCHASTIC INTEGRALS; CENTRAL LIMIT-THEOREMS; RESPECT; SYSTEMS; TIME;

D O I：

10.1080/03610926.2013.819923

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Using multiple stochastic integrals and the Malliavin calculus, we analyze the asymptotic behavior of the adjusted quadratic variation for a sub-fractional Brownian motion. We apply our results to construct strongly consistent statistical estimators for the self-similarity of sub-fractional Brownian motion.

引用

页码：3276 / 3289

页数：14

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