B0681
Title: Asymptotic expansion for general Wiener functionals
Authors: Nakahiro Yoshida - University of Tokyo (Japan) [presenting]
Abstract: The asymptotic expansion is a key to the construction of various fields in statistics. The two main methods for stochastic processes were the martingale expansion and the expansion based on the mixing-Markov property. Recently, the theory has extended to asymptotic expansions of Wiener functionals that have no martingale structure nor Markov property. A brief introduction is made to the theory of asymptotic expansions for general Wiener functionals by a recent study. This theory has been applied to the Hurst parameter estimation, the quadratic variation of a mixed fractional Brownian motion, the estimation of a fractional Ornstein-Uhlenbeck process, and other problems.
