Title :

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

Author(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]

Journal title :

Statistical Inference for Stochastic Processes

Pages :

1-27

Publisher :

Springer Verlag

Publication date :

2007

ISSN :

1387-0874

English keyword(s) :

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

HAL domain(s) :

Mathématiques [math]/Probabilités [math.PR]

English abstract : [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.Show less >

Language :

Anglais

Popular science :

Non

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL