Asymptotic behavior of mixed power variations and statistical estimation in mixed models

Marco Dozzi (), Yuliya Mishura () and Georgiy Shevchenko ()

Statistical Inference for Stochastic Processes, 2015, vol. 18, issue 2, 175 pages

Abstract: We obtain results on both weak and almost sure asymptotic behaviour of power variations of a linear combination of independent Wiener process and fractional Brownian motion. These results are used to construct strongly consistent parameter estimators in mixed models. Copyright Springer Science+Business Media Dordrecht 2015

Keywords: Power variation; Fractional Brownian motion; Hurst parameter; Wiener process; Consistent estimator; 60G22; 62M09; 60G15; 62F25 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11203-014-9106-5

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