| Title |
Limit theorems for a quadratic variation of Gaussian processes |
| Authors |
Malukas, Raimondas |
| DOI |
10.15388/NA.16.4.14087 |
| Full Text |
|
| Is Part of |
Nonlinear analysis: modelling and control.. Vilnius : Vilniaus universiteto leidykla. 2011, vol. 16, no. 4, p. 435-452.. ISSN 1392-5113. eISSN 2335-8963 |
| Keywords [eng] |
quadratic variation ; bifractional Brownian motion ; sub-fractional Brownian motion ; Hurst index ; almost sure convergence ; central limit theorem |
| Abstract [eng] |
In the paper a weighted quadratic variation based on a sequence of partitions for a class of Gaussian processes is considered. Conditions on the sequence of partitions and the process are established for the quadratic variation to converge almost surely and for a central limit theorem to be true. Also applications to bifractional and sub-fractional Brownian motion and the estimation of their parameters are provided. |
| Published |
Vilnius : Vilniaus universiteto leidykla |
| Type |
Journal article |
| Language |
English |
| Publication date |
2011 |
| CC license |
|
