arXiv subjects

Rola Zintout

Publications and source records attributed to Rola Zintout.

3 recordsLinked to original sources

arXiv2015

Cross-variation of Young integral with respect to long-memory fractional Brownian motions

We study the asymptotic behaviour of the cross-variation of two-dimensional processes having the form of a Young integral with respect to a fractional Brownian motion of index $H \textgreater{} 1/ 2$. When $H$ is smaller than or equal to $3 / 4$, we show asymptotic mixed normality. When $H$ is strictly bigger than $3/4$, we obtain a limit that is expressed in terms of the difference of two independent Rosenblatt processes.

math.PR↗

arXiv2015

Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation

The purpose of this paper is to establish the multivariate normal convergence for the average of certain Volterra processes constructed from a fractional Brownian motion with Hurst parameter H>1/2. Some applications to parameter estimation are then discussed.

math.PR↗

arXiv2013

Total variation distance between two double Wiener-Itô integrals

Using an approach recently developed by Nourdin and Poly, we improve the rate in an inequality for the total variation distance between two double Wiener-Itô integrals originally due to Davydov and Martynova. An application to the rate of convergence of a functional of a correlated two-dimensional fractional Brownian motion towards the Rosenblatt random variable is then given, following a previous study by Maejima and Tudor.

math.ST↗