Power variation of some integral fractional processes
Manuel Corcuera, José ; Nualart, David ; Woerner, Jeannette H.C.
Bernoulli, Tome 12 (2006) no. 2, p. 713-735 / Harvested from Project Euclid
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We consider the asymptotic behaviour of the realized power variation of processes of the form [math] , where [math] is a fractional Brownian motion with Hurst parameter [math] , and [math] is a process with finite [math] -variation, [math] . 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.
Publié le : 2006-08-14
Classification:  central and non-central limit theorems,  fractional Brownian motion,  long memory,  p-variation,  realized power variation 
@article{1155735933,
     author = {Manuel Corcuera, Jos\'e and Nualart, David and Woerner, Jeannette H.C.},
     title = {Power variation of some integral fractional processes},
     journal = {Bernoulli},
     volume = {12},
     number = {2},
     year = {2006},
     pages = { 713-735},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1155735933}
}

Manuel Corcuera, José; Nualart, David; Woerner, Jeannette H.C. Power variation of some integral fractional processes. Bernoulli, Tome 12 (2006) no. 2, pp.  713-735. http://gdmltest.u-ga.fr/item/1155735933/