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Title:
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Power variation of some integral fractional processes
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Author:
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Corcuera Valverde, José Manuel; Nualart, David, 1951-; Woerner, Jeannette H.C.
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Other authors:
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Universitat de Barcelona |
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Abstract:
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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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Subject(s):
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-Teorema del límit central
-Processos de moviment brownià
-Anàlisi estocàstica
-Central limit theorem
-Brownian motion processes
-Stochastic analysis |
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Rights:
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(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2006
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Document type:
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Article
Article - Published version |
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Published by:
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Bernoulli Society for Mathematical Statistics and Probability
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