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Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion
Hermite power variation fractional Brownian motion
2009/3/20
Let q≥2 be a positive integer, B be a fractional Brownian motion with Hurst index H∈(0,1), Z be an Hermite random variable of index q, and Hq denote the q-th Hermite polynomial. For any n≥1, set Vn=∑0...