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2006

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

Power variation of some integral fractional processes

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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.

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http://dx.doi.org/10.3150/bj/1155735933

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Teorema del límit central, Processos de moviment brownià, Anàlisi estocàstica

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Central limit theorem, Brownian motion processes, Stochastic analysis

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CORCUERA VALVERDE, José Manuel, NUALART, David and WOERNER, Jeannette H.C. Power variation of some integral fractional processes. Bernoulli. 2006. Vol. 12, num. 4, pags. 713-735. ISSN 1350-7265. [consulted: 9 of October of 2026]. Available at: https://hdl.handle.net/2445/23404

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