A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
DOI10.1007/S11203-005-0532-2zbMATH Open1115.60024OpenAlexW1965745196MaRDI QIDQ882907FDOQ882907
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
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Cites Work
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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
- Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
- Modelling NASDAQ series by sparse multifractional Brownian motion
- 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
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