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A third-moment theorem and precise asymptotics for variations of stationary Gaussian sequences
7 references·0 citing·25 second hop
A third-moment theorem and precise asymptotics for variations of stationary Gaussian sequences (2016)A third-moment theorem and precise asympt…The optimal fourth moment theorem (2015)The optimal fourth moment the…Central Limit Theorems and Quadratic Variations in Terms of Spectral Density (2011)Central Limit Theorems and Qu…Stein’s method on Wiener chaos (2008)Stein’s method on Wiener chaosError bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion (2008)Error bounds on the non-norma…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Central limit theorems for sequences of multiple stochastic integrals (2005)Central limit theorems for se…Convergence of integrated processes of arbitrary Hermite rank (1979)Convergence of integrated pro…The Malliavin Calculus and Related Topics (1995)THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)Malliavin-Stein method for variance-gamma approximation on Wiener space (2015)Generalization of the Nualart–Peccati criterion (2016)Optimal rates for parameter estimation of stationary Gaussian processes (2018)Stochastic Analysis (1997)Density Formula and Concentration Inequalities with Malliavin Calculus (2009)Multivariate normal approximation using Stein’s method and Malliavin calculus (2010)Stein’s method and Normal approximation of Poisson functionals (2010)Multiple Wiener Integral (1951)Fractional Brownian Motions, Fractional Noises and Applications (1968)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics (2001)Modelling Nonlinear Economic Time Series (2010)Continuous Martingales and Brownian Motion (1999)Gaussian Limits for Vector-valued Multiple Stochastic Integrals (2004)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Variations and estimators for the selfsimilarity order through Malliavin calculus (2007)Regularization and integral representations of Hermite processes (2010)Quantitative stable limit theorems on the Wiener space (2016)Parameter estimation of Gaussian stationary processes using the generalized method of moments (2017)Total variation estimates in the Breuer–Major theorem (2021)
this work references cited by second hop

References

  • 2006The Malliavin Calculus and Related Topics2,548 cited
  • 1979Convergence of integrated processes of arbitrary Hermite rank566 cited
  • 2005Central limit theorems for sequences of multiple stochastic integrals442 cited
  • 2008Stein’s method on Wiener chaos415 cited
  • 2015The optimal fourth moment theorem81 cited
  • 2008Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion72 cited
  • 2011Central Limit Theorems and Quadratic Variations in Terms of Spectral Density26 cited

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