Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus

Junfeng Liu, Donglei Tang and Yuquan Cang

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 7, 3276-3289

Abstract: Using multiple stochastic integrals and the Malliavin calculus, we analyze the asymptotic behavior of the adjusted quadratic variation for a sub-fractional Brownian motion. We apply our results to construct strongly consistent statistical estimators for the self-similarity of sub-fractional Brownian motion.

Date: 2017
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DOI: 10.1080/03610926.2013.819923

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