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Modified wavelet variation for the Hermite processes by Loosveldt, Laurent; Tudor, Ciprian A. is a scholarly article available to read on EtoBox.

What is Modified wavelet variation for the Hermite processes about?

We define an asymptotically normal wavelet-based strongly consistent estimator for the Hurst parameter of any Hermite processes. This estimator is obtained by considering a modified wavelet variation in which coefficients are wisely chosen to be, up to negligeable remainders, independent. We use Stein-Malliavin calculus to prove that this wavelet variation satisfies a multidimensional Central Limit Theorem, with an explicit bound for the Wasserstein distance.

Author

Loosveldt, Laurent; Tudor, Ciprian A.

Published

2024

Language

EN