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Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion II
Nualart, David ; Swanson, Jason
Nualart, David
Swanson, Jason
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Abstract
The purpose of this paper is to provide a complete description the convergence in distribution of two subsequences of the signed cubic variation of the fractional Brownian motion with Hurst parameter H=1/6.
Description
This is the published version, also available here: http://dx.doi.org/10.1214/ECP.v18-2840.
Date
2013-10-13
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Institute of Mathematical Statistics (IMS)
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Keywords
fractional Brownian motion, cubic variation, convergence in law
Citation
Nualart, David & Swanson, Jason. "Joint convergence along different subsequences of the signed cubic variation of fractional Brownian motion II." Electronic Communications in Probability (2013) Vol 18. pg 1-11. http://dx.doi.org/10.1214/ECP.v18-2840.