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Asymptotic Theory for Fractional Regression Models via Malliavin Calculus

Authors:

Affiliation:

(1) CMA, Department of Mathematics, University of Oslo, P.O. Box 1053, Blindern, 316 Oslo, Norway;(2) Norwegian School of Economics and Business Administration, Helleveien 30, 5045 Bergen, Norway;(3) Programme in Advanced Mathematics of Finance, School of Computational and Applied Mathematics, University of the Witwatersrand, Private Bag 3, Wits, 2050 Johannesburg, South Africa

Abstract:

We study the asymptotic behavior as n→∞ of the sequence

S_n=?_i=0^n-1K(n^aB^H₁_i)(B^H₂_i+1-B^H₂_i)S_{n}=sum_{i=0}^{n-1}Kbigl(n^{alpha}B^{H_{1}}_{i}bigr)bigl(B^{H_{2}}_{i+1}-B^{H_{2}}_{i}bigr)

Keywords:
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