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arXiv · 0709.3896

Variations and estimators for the selfsimilarity order through Malliavin calculus

Ciprian Tudor·Frederi Viens
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Abstract

Using multiple stochastic integrals and the Malliavin calculus, we analyze the asymptotic behavior of quadratic variations for a specific non-Gaussian self-similar process, the Rosenblatt process. We apply our results to the design of strongly consistent statistical estimators for the self-similarity parameter $H$. Although, in the case of the Rosenblatt process, our estimator has non-Gaussian asymptotics for all $H>1/2$, we show the remarkable fact that the process's data at time 1 can be used to construct a distinct, compensated estimator with Gaussian asymptotics for $H\in(1/2,2/3)$.

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Ciprian Tudor, Frederi Viens. 2009-12-20. Variations and estimators for the selfsimilarity order through Malliavin calculus. https://arxiv.org/abs/0709.3896

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