Power variation for Gaussian processes with stationary increments
From MaRDI portal
Publication:1019612
DOI10.1016/j.spa.2008.09.004zbMath1165.60017MaRDI QIDQ1019612
Mark Podolskij, Ole Eiler Barndorff-Nielsen, José Manuel Corcuera
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
Gaussian processes; central limit theorem; high-frequency data; chaos expansion; multiple Wiener-Itô integrals; power variation
60G15: Gaussian processes
62G20: Asymptotic properties of nonparametric inference
60F17: Functional limit theorems; invariance principles
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