Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian--fractional Brownian model

preprint2015arXivOpen access

Abstract

We study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian--fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter HH of the fractional part satisfies H∈(3/4,1)H\in(3/4,1), the central limit theorem holds. In the nonsemimartingale case, that is, where H∈(1/2,3/4]H\in(1/2,3/4], the convergence toward the normal distribution with a nonzero mean still holds if H=3/4H=3/4, whereas for the other values, that is, H∈(1/2,3/4)H\in(1/2,3/4), the central convergence does not take place. We also provide Berry--Esseen estimates for the estimator.

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