Reference : Asymptotic normality of randomized periodogram for estimating quadratic variation in ... |

E-prints/Working papers : Already available on another site | |||

Physical, chemical, mathematical & earth Sciences : Mathematics | |||

http://hdl.handle.net/10993/26393 | |||

Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model | |

English | |

Azmoodeh, Ehsan [University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit >] | |

Sottinen, Tommi [] | |

Viitasaari, Lauri [] | |

2014 | |

No | |

[en] We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian--fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter H of the fractional part satisfies H∈(3/4,1), the central limit theorem holds. In the nonsemimartingale case, that is, where H∈(1/2,3/4], the convergence toward the normal distribution with a nonzero mean still holds if H=3/4, whereas for the other values, that is, H∈(1/2,3/4), the central convergence does not take place. We also provide Berry--Esseen estimates for the estimator. | |

http://hdl.handle.net/10993/26393 | |

http://arxiv.org/abs/1411.4499 |

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