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Power variation of some integral fractional processes Corcuera Valverde, José Manuel Nualart, David, 1951- Woerner, Jeannette H.C. Teorema del límit central Processos de moviment brownià Anàlisi estocàstica Central limit theorem Brownian motion processes Stochastic analysis 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. 2012-04-10T10:48:50Z 2012-04-10T10:48:50Z 2006 info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion 1350-7265 https://hdl.handle.net/2445/23404 561599 eng Reproducció del document publicat a: http://dx.doi.org/10.3150/bj/1155735933 Bernoulli, 2006, vol. 12, núm. 4, p. 713-735 http://dx.doi.org/10.3150/bj/1155735933 (c) ISI/BS, International Statistical Institute, Bernoulli Society, 2006 info:eu-repo/semantics/openAccess 23 p. application/pdf Bernoulli Society for Mathematical Statistics and Probability Articles publicats en revistes (Matemàtiques i Informàtica)