Quadratic variation for Gaussian processes and application to time deformation

DOI10.1016/S0304-4149(99)00037-XzbMATH Open0997.60038MaRDI QIDQ1613618FDOQ1613618

Authors: Olivier Perrin 

Publication date: 29 August 2002

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

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zbMATH Keywords

estimationquadratic variation processfunctional convergence in distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) Functional limit theorems; invariance principles (60F17) General second-order stochastic processes (60G12) Sample path properties (60G17)

Cites Work

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• Quadratic variations and estimation of the local Hölder index of a Gaussian process
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• 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)
• Reducing non-stationary stochastic processes to stationarity by a time deformation
• A New Limit Theorem for Stochastic Processes with Gaussian Increments
• A Strong Limit Theorem for Gaussian Processes
• Variations de champs Gaussiens stationnaires: Application à l'idéntification. (Variations of stationary Gaussian fields: Application to identification)
• Uniform quadratic variation for Gaussian processes
• Title not available (Why is that?)
• Non-parametric estimation of the long-range dependence exponent for Gaussian processes

Cited In (12)

• Functional limit theorems for generalized quadratic variations of Gaussian processes
• Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences
• Identification of space deformation using linear and superficial quadratic variations
• Title not available (Why is that?)
• Identification of an isometric transformation of the standard Brownian sheet
• Indefinite quadratic functionals of Gaussian processes and least-action paths
• The effect of the regularity of the error process on the performance of kernel regression estimators
• Notes on spherical bifractional Brownian motion
• Quadratic variations along irregular subdivisions for Gaussian processes
• The \((q, t)\)-Gaussian process
• Semi-parametric estimation of the variogram scale parameter of a Gaussian process with stationary increments
• Uniform quadratic variation for Gaussian processes

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