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
收藏
页码：3276 / 3289
页数：14
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