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http://hdl.handle.net/2445/23404| Title: | Power variation of some integral fractional processes |
| Author: | Corcuera Valverde, José Manuel Nualart, David, 1951- Woerner, Jeannette H.C. |
| Keywords: | Teorema del límit central Processos de moviment brownià Anàlisi estocàstica Central limit theorem Brownian motion processes Stochastic analysis |
| Issue Date: | 2006 |
| Publisher: | Bernoulli Society for Mathematical Statistics and Probability |
| Abstract: | We consider the asymptotic behaviour of the realized power variation of processes of the form ¿t0usdBHs, where BH is a fractional Brownian motion with Hurst parameter H E(0,1), and u is a process with finite q-variation, q<1/(1¿H). We establish the stable convergence of the corresponding fluctuations. These results provide new statistical tools to study and detect the long-memory effect and the Hurst parameter. |
| Note: | Reproducció del document publicat a: http://dx.doi.org/10.3150/bj/1155735933 |
| It is part of: | Bernoulli, 2006, vol. 12, núm. 4, p. 713-735 |
| URI: | http://hdl.handle.net/2445/23404 |
| Related resource: | http://dx.doi.org/10.3150/bj/1155735933 |
| ISSN: | 1350-7265 |
| Appears in Collections: | Articles publicats en revistes (Matemàtiques i Informàtica) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| 561599.pdf | 171.89 kB | Adobe PDF | View/Open |
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