Spectral characterization of the quadratic variation of mixed Brownian-fractional Brownian motion

DOI10.1007/s11203-013-9079-9zbMath1273.60037arXiv1005.4349OpenAlexW2081079261MaRDI QIDQ2392829

Ehsan Azmoodeh, Esko Valkeila

Publication date: 2 August 2013

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.4349

zbMATH Keywords

fractional Brownian motionquadratic variationrandomized periodogram

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Inference from stochastic processes and spectral analysis (62M15) Portfolio theory (91G10)

Related Items (1)

Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model

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