Asymptotic behavior of mixed power variations and statistical estimation in mixed models

Abstract

We obtain results on both weak and almost sure asymptotic behaviour of power variations of a linear combination of independent Wiener process and fractional Brownian motion. These results are used to construct strongly consistent parameter estimators in mixed models.

References in corpus (2)

• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Mixed stochastic differential equations with long-range dependence: existence, uniqueness and convergence of solutions