Order estimate of functionals related to fractional Brownian motion
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DOI: 10.1016/j.spa.2023.04.014
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References listed on IDEAS
- Podolskij, Mark & Veliyev, Bezirgen & Yoshida, Nakahiro, 2017.
"Edgeworth expansion for the pre-averaging estimator,"
Stochastic Processes and their Applications, Elsevier, vol. 127(11), pages 3558-3595.
- Mark Podolskij & Bezirgen Veliyev & Nakahiro Yoshida, 2015. "Edgeworth expansion for the pre-averaging estimator," Papers 1512.04716, arXiv.org.
- Mark Podolskij & Bezirgen Veliyev & Nakahiro Yoshida, 2015. "Edgeworth expansion for the pre-averaging estimator," CREATES Research Papers 2015-60, Department of Economics and Business Economics, Aarhus University.
- Yoshida, Nakahiro, 2013. "Martingale expansion in mixed normal limit," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 887-933.
- Ciprian A. Tudor & Nakahiro Yoshida, 2020. "Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 435-463, July.
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Cited by:
- Yamagishi, Hayate & Yoshida, Nakahiro, 2024. "Asymptotic expansion of the quadratic variation of fractional stochastic differential equation," Stochastic Processes and their Applications, Elsevier, vol. 175(C).
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Keywords
Malliavin calculus; Fractional Brownian motion; Multiple stochastic integral; Exponent; Weighted graph; Sobolev norm;All these keywords.
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