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Power variation of some integral fractional processes
| dc.contributor.author | Corcuera, José Manuel | |
| dc.contributor.author | Nualart, David | |
| dc.contributor.author | Woerner, Jeannette H.C. | |
| dc.date.accessioned | 2015-04-13T17:18:31Z | |
| dc.date.available | 2015-04-13T17:18:31Z | |
| dc.date.issued | 2006-08-01 | |
| dc.identifier.citation | Corcuera, José Manuel; Nualart, David; Woerner, Jeannette H.C. (2006). "Power variation of some integral fractional processes." Bernoulli, 12(4):713-735. | en_US |
| dc.identifier.issn | 1350-7265 | |
| dc.identifier.uri | http://hdl.handle.net/1808/17386 | |
| dc.description | This is the publisher's version, copyright by the Bernoulli Society for Mathematical Statistics and Probability. | en_US |
| dc.description.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. | en_US |
| dc.publisher | Bernoulli Society for Mathematical Statistics and Probability | en_US |
| dc.title | Power variation of some integral fractional processes | en_US |
| dc.type | Article | |
| kusw.kuauthor | Nualart, David | |
| kusw.kudepartment | Mathematics | en_US |
| kusw.oaversion | Scholarly/refereed, publisher version | |
| kusw.oapolicy | This item does not meet KU Open Access policy criteria. | |
| dc.rights.accessrights | openAccess |
