Power variation for Gaussian processes with stationary increments

DOI10.1016/j.spa.2008.09.004zbMath1165.60017OpenAlexW2033230540MaRDI 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 processescentral limit theoremhigh-frequency datachaos expansionmultiple Wiener-Itô integralspower variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic properties of nonparametric inference (62G20) Functional limit theorems; invariance principles (60F17)

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