Asymptotic behavior of mixed power variations and statistical estimation in mixed models
Probability
2013-06-20 v2 Methodology
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.
Keywords
Cite
@article{arxiv.1301.0993,
title = {Asymptotic behavior of mixed power variations and statistical estimation in mixed models},
author = {Marco Dozzi and Yuliya Mishura and Georgiy Shevchenko},
journal= {arXiv preprint arXiv:1301.0993},
year = {2013}
}