Asymptotic behavior of mixed power variations and statistical estimation in mixed models

Marco Dozzi; Yuliya Mishura; Georgiy Shevchenko

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arXiv · 1301.0993

Asymptotic behavior of mixed power variations and statistical estimation in mixed models

Marco Dozzi·Yuliya Mishura·Georgiy Shevchenko

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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.

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Marco Dozzi, Yuliya Mishura, Georgiy Shevchenko. 2013-06-19. Asymptotic behavior of mixed power variations and statistical estimation in mixed models. https://arxiv.org/abs/1301.0993

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