Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation

Ivan Nourdin, David Nualart, Rola Zintout

Published 2015-02-11Version 1

The purpose of this paper is to establish the multivariate normal convergence for the average of certain Volterra processes constructed from a fractional Brownian motion with Hurst parameter H>1/2. Some applications to parameter estimation are then discussed.