Power variation of some integral fractional processes

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Título:	Power variation of some integral fractional processes
Autor/a:	Corcuera Valverde, José Manuel; Nualart, David, 1951-; Woerner, Jeannette H.C.
Otros autores:	Universitat de Barcelona
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.
Materia(s):	-Teorema del límit central -Processos de moviment brownià -Anàlisi estocàstica -Central limit theorem -Brownian motion processes -Stochastic analysis
Derechos:	(c) ISI/BS, International Statistical Institute, Bernoulli Society, 2006
Tipo de documento:	Artículo Artículo - Versión publicada
Editor:	Bernoulli Society for Mathematical Statistics and Probability
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Corcuera Valverde, José Manuel; Farkas, Gergely

Corcuera Valverde, José Manuel; Farkas, Gergely; Di Nunno, Giulia; Øksendal, B. K. (Bernt Karsten), 1945-

Nualart, David, 1951-; Rascanu, Aurel

Nualart, David, 1951-; Sanz, Marta

Nualart, David, 1951-; Vives, Josep

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