Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian processes

Comptes Rendus Mathematique

Volumn 347, Issue 11-12, 2009, Pages 663-666

  Chronopoulou, Alexandra ^a   Tudor, Ciprian A ^b   Viens, Frederi G ^a  

^a PURDUE UNIVERSITY   (United States)

^b University Paris I Sorbonne Panthéon   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 67349098865     PISSN: 1631073X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.crma.2009.03.026     Document Type: Article

References (6)

1. Beran J. Statistics for Long-Memory Processes (1994), Chapman and Hall
2. Coeurjolly J.F. Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths. Statist. Inference Stoch. Process. 4 (2001) 199-227
3. I. Nourdin, G. Peccati, Stein's method on Wiener chaos, Probab. Theory Related Fields, 44 pages, available online, doi:10.1007/s00440-008-0162-x
4. Nualart D. Malliavin Calculus and Related Topics. second ed. (2006), Springer
5. Nualart D., and Ortiz-Latorre S. Central limit theorems for multiple stochastic integrals and Malliavin calculus. Stochastic Process. Appl. 118 4 (2008) 614-628
6. C.A. Tudor, F. Viens, Variations and estimators for the selfsimilarity order through Malliavin calculus, Ann. Probab., in press