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

Abstract

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 polynomial having degree $q$. For any $n\ge 1$, set $V_n={\sum }_{k=0}^{n-1}{H}_q(B_{k+1}-B_k)$. The aim of the current paper is to derive, in the case when the Hurst index verifies $H>1-1/(2q)$, an upper bound for the total variation distance between the laws $\mathcal{L}(Z_n)$ and $\mathcal{L}(Z)$, where $Z_n$ stands for the correct renormalization of $V_n$ which converges in distribution towards $Z$. Our results should be compared with those obtained recently by Nourdin and Peccati (2007) in the case when $H<1-1/(2q)$, corresponding to the situation where one has normal approximation.

12 pages

References in corpus (1)

• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion