Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion

Yoon Tae Kim and Hyun Suk Park

Statistics & Probability Letters, 2015, vol. 105, issue C, 181-188

Abstract: In this paper, we consider the convergence of the estimator of the Hurst parameter H of a fractional Brownian motion with Hurst parameter H∈(0,1). The main goal of our work is to derive an explicit upper bound of Kolmogorov distance in order to find the information about the rate of convergence of the central limit theorems (CLT) for the estimator of the Hurst parameter.

Keywords: Malliavin calculus; Fractional Brownian motion; Hurst parameter; Central limit theorem; Berry–Esseen bound; Kolmogorov distance (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.04.032

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