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arXiv · 1502.03369

Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation

Ivan Nourdin·David Nualart·Rola Zintout
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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.

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Ivan Nourdin, David Nualart, Rola Zintout. 2015-02-11. Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation. https://arxiv.org/abs/1502.03369

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