A Gladyshev theorem for trifractional Brownian motion and n-th order fractional Brownian motion

Abstract

We prove limit theorems for the weighted quadratic variation of trifractional Brownian motion and n-th order fractional Brownian motion. Furthermore, a sufficient condition for the $L^P$-convergence of the weighted quadratic variation for Gaussian processes is obtained as a byproduct. As an application, we give a statistical estimator for the self-similarity index of trifractional Brownian motion. These theorems extend results of Baxter, Gladyshev, and Norvaiša.