Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation

Published 11 Feb 2015 in math.PR | (1502.03369v1)

Abstract: The purpose of this paper is to establish the multivariate normal convergence for the average of certain Volterra processes constructed from a fractional Brownian motion with Hurst parameter H>1/2. Some applications to parameter estimation are then discussed.

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