Power variation for Gaussian processes with stationary increments

DOI10.1016/j.spa.2008.09.004zbMath1165.60017MaRDI QIDQ1019612

Mark Podolskij, José Manuel Corcuera, Ole Eiler Barndorff-Nielsen

Publication date: 4 June 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2008.09.004

zbMATH Keywords

Gaussian processes; central limit theorem; high-frequency data; chaos expansion; multiple Wiener-Itô integrals; power variation

Mathematics Subject Classification ID

60G15: Gaussian processes

62G20: Asymptotic properties of nonparametric inference

60F17: Functional limit theorems; invariance principles

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