Abstract

I discuss some computational problems associated with distributions of statistics arising from the fractional Brownian motion (fBm). In particular, I deal with (ratios of) its quadratic functionals. While it is easy in principle to deal with the standard Bm, the fBm is difficult to analyze because of its non-semimartingale nature. Here I suggest how to derive and compute the distributions of such functionals by using a martingale approximation. The related paper may be downloaded at here