Power variation of some integral fractional processes
| Contribuinte(s) |
Universitat de Barcelona |
|---|---|
| Data(s) |
18/04/2012
|
| Resumo |
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. |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
Bernoulli Society for Mathematical Statistics and Probability |
| Direitos |
(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2006 info:eu-repo/semantics/openAccess |
| Palavras-Chave | #Teorema del límit central #Processos de moviment brownià #Anàlisi estocàstica #Central limit theorem #Brownian motion processes #Stochastic analysis |
| Tipo |
info:eu-repo/semantics/article |
