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arXiv · 1411.4499

Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian--fractional Brownian model

Ehsan Azmoodeh·Tommi Sottinen·Lauri Viitasaari
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Abstract

We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian--fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter $H$ of the fractional part satisfies $H\in(3/4,1)$, the central limit theorem holds. In the nonsemimartingale case, that is, where $H\in(1/2,3/4]$, the convergence toward the normal distribution with a nonzero mean still holds if $H=3/4$, whereas for the other values, that is, $H\in(1/2,3/4)$, the central convergence does not take place. We also provide Berry--Esseen estimates for the estimator.

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Ehsan Azmoodeh, Tommi Sottinen, Lauri Viitasaari. 2015-06-05. Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian--fractional Brownian model. https://doi.org/10.15559/15-vmsta24

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