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Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model
Azmoodeh, Ehsan; Sottinen, Tommi; Viitasaari, Lauri
2014
 

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Abstract :
[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.
Disciplines :
Mathematics
Author, co-author :
Azmoodeh, Ehsan ;  University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit
Sottinen, Tommi
Viitasaari, Lauri
Language :
English
Title :
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model
Publication date :
2014
Available on ORBilu :
since 01 April 2016

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