KUKU

KU ScholarWorks

  • myKU
  • Email
  • Enroll & Pay
  • KU Directory
    • Login
    View Item 
    •   KU ScholarWorks
    • Mathematics
    • Mathematics Scholarly Works
    • View Item
    •   KU ScholarWorks
    • Mathematics
    • Mathematics Scholarly Works
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Power variation of some integral fractional processes

    Thumbnail
    View/Open
    NualartD_Bernoulli_12(4)713.pdf (171.8Kb)
    Issue Date
    2006-08-01
    Author
    Corcuera, José Manuel
    Nualart, David
    Woerner, Jeannette H.C.
    Publisher
    Bernoulli Society for Mathematical Statistics and Probability
    Type
    Article
    Article Version
    Scholarly/refereed, publisher version
    Metadata
    Show full item record
    Abstract
    We consider the asymptotic behaviour of the realized power variation of processes of the form ∫^(t)(0)u(s)dB^(H)(s), where B^H is a fractional Brownian motion with Hurst parameter H∈(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.
    Description
    This is the publisher's version, copyright by the Bernoulli Society for Mathematical Statistics and Probability.
    URI
    http://hdl.handle.net/1808/17386
    ISSN
    1350-7265
    Collections
    • Mathematics Scholarly Works [282]
    Citation
    Corcuera, José Manuel; Nualart, David; Woerner, Jeannette H.C. (2006). "Power variation of some integral fractional processes." Bernoulli, 12(4):713-735.

    Items in KU ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.


    We want to hear from you! Please share your stories about how Open Access to this item benefits YOU.


    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

    Browse

    All of KU ScholarWorksCommunities & CollectionsThis Collection

    My Account

    LoginRegister

    Statistics

    View Usage Statistics

    Contact KU ScholarWorks
    785-864-8983
    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    785-864-8983

    KU Libraries
    1425 Jayhawk Blvd
    Lawrence, KS 66045
    Image Credits
     

     

    The University of Kansas
      Contact KU ScholarWorks
    Lawrence, KS | Maps
     
    • Academics
    • Admission
    • Alumni
    • Athletics
    • Campuses
    • Giving
    • Jobs

    The University of Kansas prohibits discrimination on the basis of race, color, ethnicity, religion, sex, national origin, age, ancestry, disability, status as a veteran, sexual orientation, marital status, parental status, gender identity, gender expression and genetic information in the University’s programs and activities. The following person has been designated to handle inquiries regarding the non-discrimination policies: Director of the Office of Institutional Opportunity and Access, IOA@ku.edu, 1246 W. Campus Road, Room 153A, Lawrence, KS, 66045, (785)864-6414, 711 TTY.

     Contact KU
    Lawrence, KS | Maps