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Asymptotic expansion of an estimator for the Hurst coefficient
Mälardalen University, School of Education, Culture and Communication, Educational Sciences and Mathematics. Taras Shevchenko National University of Kyiv, Kyiv, Ukraine.ORCID iD: 0000-0002-6877-1800
Graduate School of Mathematical Sciences, The University of Tokyo, Tokyo, Japan.
Graduate School of Mathematical Sciences, The University of Tokyo, Tokyo, Japan.
2023 (English)In: Statistical Inference for Stochastic Processes An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems, ISSN 1387-0874, E-ISSN 1572-9311Article in journal (Refereed) Published
Abstract [en]

Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. We first derive the expansion formula of the principal term of the error of the estimator using a recently developed theory of asymptotic expansion of the distribution of Wiener functionals, and utilize the perturbation method on the obtained formula in order to calculate the expansion of the estimator. We also discuss some second-order modifications of the estimator. Numerical results show that the asymptotic expansion attains higher accuracy than the normal approximation.

Place, publisher, year, edition, pages
Springer Science and Business Media B.V. , 2023.
Keywords [en]
Asymptotic expansion, Central limit theorem, Edgeworth expansion, Fractional Brownian motion, Hurst coefficient, Malliavin calculus
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:mdh:diva-64439DOI: 10.1007/s11203-023-09298-8ISI: 001071566200001Scopus ID: 2-s2.0-85172223702OAI: oai:DiVA.org:mdh-64439DiVA, id: diva2:1803357
Available from: 2023-10-09 Created: 2023-10-09 Last updated: 2023-10-18Bibliographically approved

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Mishura, Yuliiya

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Statistical Inference for Stochastic Processes An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems
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