Power variation of some integral fractional processes

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RECERCAT Home > Universitat de Barcelona > Matemàtiques i Informàtica > Articles publicats en revistes (Matemàtiques i Informàtica) > View document

To access the full text documents, please follow this link: http://hdl.handle.net/2445/23404

dc.contributor	Universitat de Barcelona
dc.contributor.author	Corcuera Valverde, José Manuel
dc.contributor.author	Nualart, David, 1951-
dc.contributor.author	Woerner, Jeannette H.C.
dc.date	2012-04-10T10:48:50Z
dc.date	2012-04-10T10:48:50Z
dc.date	2006
dc.identifier.citation	1350-7265
dc.identifier.citation	561599
dc.identifier.uri	http://hdl.handle.net/2445/23404
dc.format	23 p.
dc.format	application/pdf
dc.language.iso	eng
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.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
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.

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