Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus. Issue 7 (3rd April 2017)

• Record Type: Journal Article
• Authors: Liu, Junfeng; Tang, Donglei; Cang, Yuquan
• Is Part Of: Communications in statistics. Volume 46:Issue 7(2017)
• Page Start: 3276
• Page End: 3289
• Publication Date: 2017-04-03
• Subjects: Subfractional Brownian motion -- multiple stochastic integral -- Malliavin calculus -- quadratic variation -- selfsimilarity -- statistical estimation; Primary 60F05, 60H05 -- Secondary 60G18; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2013.819923
• Languages: English
• ISSNs: 0361-0926

Abstract

ABSTRACT: 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.