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

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 $H$ of the fractional part satisfies $H\in(3/4,1)$, the central limit theorem holds. In the nonsemimartingale case, that is, where $H\in(1/2,3/4]$, the convergence toward the normal distribution with a nonzero mean still holds if $H=3/4$, whereas for the other values, that is, $H\in(1/2,3/4)$, the central convergence does not take place. We also provide Berry--Esseen estimates for the estimator.

Published at http://dx.doi.org/10.15559/15-VMSTA24 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)