Corcuera, José ManuelNualart, DavidWoerner, Jeannette H.C.2015-04-132015-04-132006-08-01Corcuera, José Manuel; Nualart, David; Woerner, Jeannette H.C. (2006). "Power variation of some integral fractional processes." Bernoulli, 12(4):713-735.1350-7265https://hdl.handle.net/1808/17386This is the publisher's version, copyright by the Bernoulli Society for Mathematical Statistics and Probability.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.ArticleopenAccess