Asymptotic expansion of a Hurst index estimator for a stochastic differential equation driven by fBm

Abstract

We study the asymptotic properties of an estimator of Hurst parameter of a stochastic differential equation driven by a fractional Brownian motion with $H>1/2$. Utilizing the theory of asymptotic expansion of Skorohod integrals introduced by Nualart and Yoshida [NY19], we derive an asymptotic expansion formula of the distribution of the estimator. As an corollary, we also obtain a mixed central limit theorem for the statistic, indicating that the rate of convergence is $n^{-\frac{1}{2}}$, which improves the results in the previous literature. To handle second-order quadratic variations appearing in the estimator, a theory of exponent has been developed based on weighted graphs to estimate asymptotic orders of norms of functionals involved.

76 pages, 10 figures