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Power variation of some integral fractional processes

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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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Bernoulli Society for Mathematical Statistics and Probability

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(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2006

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Articles publicats en revistes (Matemàtiques i Informàtica)

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Power variation of some integral fractional processes