dc.contributor.author
Corcuera Valverde, José Manuel
dc.contributor.author
Nualart, David, 1951-
dc.contributor.author
Woerner, Jeannette H.C.
dc.date.issued
2012-04-10T10:48:50Z
dc.date.issued
2012-04-10T10:48:50Z
dc.identifier
https://hdl.handle.net/2445/23404
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.
dc.format
application/pdf
dc.publisher
Bernoulli Society for Mathematical Statistics and Probability
dc.relation
Reproducció del document publicat a: http://dx.doi.org/10.3150/bj/1155735933
dc.relation
Bernoulli, 2006, vol. 12, núm. 4, p. 713-735
dc.relation
http://dx.doi.org/10.3150/bj/1155735933
dc.rights
(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2006
dc.rights
info:eu-repo/semantics/openAccess
dc.source
Articles publicats en revistes (Matemàtiques i Informàtica)
dc.subject
Teorema del límit central
dc.subject
Processos de moviment brownià
dc.subject
Anàlisi estocàstica
dc.subject
Central limit theorem
dc.subject
Brownian motion processes
dc.subject
Stochastic analysis
dc.title
Power variation of some integral fractional processes
dc.type
info:eu-repo/semantics/article
dc.type
info:eu-repo/semantics/publishedVersion
