Quadratic variation for Gaussian processes and application to time deformation
From MaRDI portal
Publication:1613618
DOI10.1016/S0304-4149(99)00037-XzbMath0997.60038MaRDI QIDQ1613618
Publication date: 29 August 2002
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
60G15: Gaussian processes
60G12: General second-order stochastic processes
60G17: Sample path properties
60F17: Functional limit theorems; invariance principles
Related Items
Semi-parametric estimation of the variogram scale parameter of a Gaussian process with stationary increments, Identification of space deformation using linear and superficial quadratic variations, Notes on spherical bifractional Brownian motion, The effect of the regularity of the error process on the performance of kernel regression estimators, Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences, Functional limit theorems for generalized quadratic variations of Gaussian processes, Identification of an isometric transformation of the standard Brownian sheet
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Convergence en loi des H-variations d'un processus gaussien stationnaire sur \({\mathbb{R}}\). (Convergence in law of H-variations of a stationary Gaussian process)
- Variations de champs Gaussiens stationnaires: Application à l'idéntification. (Variations of stationary Gaussian fields: Application to identification)
- Non-parametric estimation of the long-range dependence exponent for Gaussian processes
- Uniform quadratic variation for Gaussian processes
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Reducing non-stationary stochastic processes to stationarity by a time deformation
- A Strong Limit Theorem for Gaussian Processes
- A New Limit Theorem for Stochastic Processes with Gaussian Increments
