Power variation of some integral fractional processes
| 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.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.identifier.idgrec | 561599 | |
| dc.identifier.issn | 1350-7265 | |
| dc.identifier.uri | https://hdl.handle.net/2445/23404 | |
| 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.rights.accessRights | info:eu-repo/semantics/openAccess | |
| 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 |
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