A Central Limit Theorem for the Generalized Quadratic Variation of the Step Fractional Brownian Motion

This paper gives a central limit theorem for the generalized quadratic variation of the step fractional Brownian motion. We first recall the denition of this process and the statistical results on the estimation of its parameters.

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Bibliographic Details
Published in:Statistical inference for stochastic processes : an international journal devoted to time series analysis and the statistics of continuous time processes and dynamic systems 2007-01, Vol.10 (1), p.1-27
Main Authors: Ayache, Antoine, Bertrand, Pierre, Véhel, Jacques Lévy
Format: Article
Language:English
Subjects:
Mathematics
Probability
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Description
Summary:This paper gives a central limit theorem for the generalized quadratic variation of the step fractional Brownian motion. We first recall the denition of this process and the statistical results on the estimation of its parameters.
ISSN:1387-0874
1572-9311
DOI:10.1007/s11203-005-0532-2