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aug 2006 Power variation of some integral fractional processes
José Manuel Corcuera, David Nualart, Jeannette H.C. Woerner
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Bernoulli 12(4): 713-735 (aug 2006). DOI: 10.3150/bj/1155735933

Abstract

We consider the asymptotic behaviour of the realized power variation of processes of the form 0 t u s dB s H , 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.

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José Manuel Corcuera. David Nualart. Jeannette H.C. Woerner. "Power variation of some integral fractional processes." Bernoulli 12 (4) 713 - 735, aug 2006. https://doi.org/10.3150/bj/1155735933

Information

Published: aug 2006
First available in Project Euclid: 16 August 2006

zbMATH: 1130.60058
MathSciNet: MR2248234
Digital Object Identifier: 10.3150/bj/1155735933

Keywords: central and non-central limit theorems , fractional Brownian motion , long memory , p-variation , realized power variation

Rights: Copyright © 2006 Bernoulli Society for Mathematical Statistics and Probability

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Vol.12 • No. 4 • aug 2006
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