Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion

Jean-Christophe Breton, Ivan Nourdin

Let $q\ge 2$ be a positive integer, $B$ be a fractional Brownian motion with Hurst index $H\in (0,1)$, $Z$ be an Hermite random variable of index $q$, and $H_q$ denote the Hermite…