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

2015/02/11 by Ivan Nourdin, David Nualart, Nourdin, Ivan +3
Mathematics · #60F05 60G22 62M09 #FOS: Mathematics #Probability (math.PR) #math.PR #msc:60F05 #msc:60G22 #msc:62M09

paper · pdf · doi:10.48550/arxiv.1502.03369

arxiv created 2015/02/11 · arxiv updated 2015/02/12

Abstract

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.

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