A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion

DOI10.1007/S11203-005-0532-2MaRDI QIDQ882907zbMATH OpenOpenAlexFDO

Authors Antoine Ayache, Jacques Lévy-Véhel, Pierre R. Bertrand

Publication date 24 May 2007

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

Full work available at URL https://doi.org/10.1007/s11203-005-0532-2

zbMATH Keywords

Hurst indexgeneralized quadratic variationdetection of abrupt changesrandom wavelet seriesstep fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05)

Recommendations

• The quadratic variation for mixed-fractional Brownian motion
• On the distribution of quadratic functionals of the ordinary and fractional Brownian motions
• A central limit theorem associated with sub-fractional Brownian motion and an application
• Central limit theorem for functionals of two independent fractional Brownian motions
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Central limit theorems and parameter estimation associated with a weighted-fractional Brownian motion
• The generalized quadratic covariation for fractional Brownian motion with Hurst index less than \(1/2\)
• Asymptotic expansion of the quadratic variation of a mixed fractional Brownian motion
• Quasi-sure p-variation of fractional Brownian motion
• Central limit theorem for an additive functional of the fractional Brownian motion

Cites work

• scientific article; zbMATH DE number 2134053 (Why is no real title available?)
• scientific article; zbMATH DE number 41223 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1944325 (Why is no real title available?)
• A local method for estimating change points: the “Hat-function”
• Arbitrage in fractional Brownian motion models
• Convex rearrangements, generalized Lorenz curves, and correlated Gaussian data
• Fractional Brownian Motions, Fractional Noises and Applications
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Testing for the presence of self-similarity of Gaussian series having stationary increments

Cited in

(10)

• Multi-scale invariant fields: estimation and prediction
• Innovative methods for modeling of scale invariant processes
• Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian-fractional Brownian model
• Modelling NASDAQ series by sparse multifractional Brownian motion
• Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
• Statistical tests of heterogeneity for anisotropic multifractional Brownian fields
• Fast and unbiased estimator of the time-dependent Hurst exponent
• DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION
• Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process
• Modeling single-file diffusion with step fractional Brownian motion and a generalized fractional Langevin equation

This page was built for publication: A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q882907)