Quadratic variation for Gaussian processes and application to time deformation

DOI10.1016/S0304-4149(99)00037-XMaRDI QIDQ1613618zbMATH OpenFDO

Authors Olivier Perrin

Publication date 29 August 2002

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

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)

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Cites work

• scientific article; zbMATH DE number 4201271 (Why is no real title available?)
• scientific article; zbMATH DE number 194139 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A New Limit Theorem for Stochastic Processes with Gaussian Increments
• A Strong Limit Theorem for Gaussian Processes
• 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)
• Non-parametric estimation of the long-range dependence exponent 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
• Uniform quadratic variation for Gaussian processes
• Variations de champs Gaussiens stationnaires: Application à l'idéntification. (Variations of stationary Gaussian fields: Application to identification)

Cited in

(12)

• Identification of an isometric transformation of the standard Brownian sheet
• scientific article; zbMATH DE number 663682 (Why is no real title available?)
• Uniform quadratic variation for Gaussian processes
• Quadratic variations along irregular subdivisions for Gaussian processes
• The \((q, t)\)-Gaussian process
• The effect of the regularity of the error process on the performance of kernel regression estimators
• Notes on spherical bifractional Brownian motion
• Indefinite quadratic functionals of Gaussian processes and least-action paths
• Identification of space deformation using linear and superficial quadratic variations
• Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences
• Functional limit theorems for generalized quadratic variations of Gaussian processes
• Semi-parametric estimation of the variogram scale parameter of a Gaussian process with stationary increments

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