Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian–fractional Brownian model
Volume 2, Issue 1 (2015), pp. 29–49
Pub. online: 11 May 2015
Type: Research Article
Open Access
Open Access
Received
17 November 2014
17 November 2014
Revised
30 March 2015
30 March 2015
Accepted
24 April 2015
24 April 2015
Published
11 May 2015
11 May 2015
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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