Titre :

A Central Limit Theorem for the Generalized Quadratic Variation of the Step Fractional Brownian Motion

Auteur(s) :

Ayache, Antoine [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Bertrand, Pierre [Auteur]
Institut Jean Lamour [IJL]
Lévy Véhel, Jacques [Auteur]
Artificial Evolution and Fractals [COMPLEX]

Titre de la revue :

Statistical Inference for Stochastic Processes

Pagination :

1-27

Éditeur :

Springer Verlag

Date de publication :

2007

ISSN :

1387-0874

Mot(s)-clé(s) en anglais :

Generalized quadratic variation.
Generalized quadratic variation
Step fractional Brownian motion
Hurst index
Detection of abrupt changes
Random wavelet series

Discipline(s) HAL :

Mathématiques [math]/Probabilités [math.PR]

Résumé en anglais : [en]

This paper gives a central limit theorem for the generalized quadratic variation of the step fractional Brownian motion. We first recall the denition of this process and the statistical results on the estimation of its parameters.This paper gives a central limit theorem for the generalized quadratic variation of the step fractional Brownian motion. We first recall the denition of this process and the statistical results on the estimation of its parameters.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL