Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation
Probability
2015-02-12 v1
Abstract
The purpose of this paper is to establish the multivariate normal convergence for the average of certain Volterra processes constructed from a fractional Brownian motion with Hurst parameter H>1/2. Some applications to parameter estimation are then discussed.
Keywords
Cite
@article{arxiv.1502.03369,
title = {Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation},
author = {Ivan Nourdin and David Nualart and Rola Zintout},
journal= {arXiv preprint arXiv:1502.03369},
year = {2015}
}