Power variation of some integral fractional processes

Corcuera Valverde, José Manuel; Nualart, David; Woerner, Jeannette H.C.

Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/23404

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DC Field	Value	Language
dc.contributor.author	Corcuera Valverde, José Manuel	cat
dc.contributor.author	Nualart, David, 1951-	cat
dc.contributor.author	Woerner, Jeannette H.C.	cat
dc.date.accessioned	2012-04-10T10:48:50Z	-
dc.date.available	2012-04-10T10:48:50Z	-
dc.date.issued	2006	-
dc.identifier.issn	1350-7265	-
dc.identifier.uri	http://hdl.handle.net/2445/23404	-
dc.description.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.	eng
dc.format.extent	23 p.	-
dc.format.mimetype	application/pdf	-
dc.language.iso	eng	eng
dc.publisher	Bernoulli Society for Mathematical Statistics and Probability	-
dc.relation.isformatof	Reproducció del document publicat a: http://dx.doi.org/10.3150/bj/1155735933	-
dc.relation.ispartof	Bernoulli, 2006, vol. 12, núm. 4, p. 713-735	-
dc.relation.uri	http://dx.doi.org/10.3150/bj/1155735933	-
dc.rights	(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2006	-
dc.source	Articles publicats en revistes (Matemàtiques i Informàtica)	-
dc.subject.classification	Teorema del límit central	cat
dc.subject.classification	Processos de moviment brownià	cat
dc.subject.classification	Anàlisi estocàstica	cat
dc.subject.other	Central limit theorem	eng
dc.subject.other	Brownian motion processes	eng
dc.subject.other	Stochastic analysis	eng
dc.title	Power variation of some integral fractional processes	eng
dc.type	info:eu-repo/semantics/article	-
dc.type	info:eu-repo/semantics/publishedVersion	-
dc.identifier.idgrec	561599	-
dc.rights.accessRights	info:eu-repo/semantics/openAccess	-
Appears in Collections:	Articles publicats en revistes (Matemàtiques i Informàtica)

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