Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
Probability
2007-09-14 v1
Abstract
Cohen, Guyon, Perrin and Pontier have given assumptions under which the second-order quadratic variations of a Gaussian process converge almost surely to a deterministic limit. In this paper we present two new convergence results about these variations: the first is a deterministic asymptotic expansion; the second is a central limit theorem. Next we apply these results to identify two-parameter fractional Brownian motion and anisotropic fractional Brownian motion.
Keywords
Cite
@article{arxiv.0709.0598,
title = {Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes},
author = {Arnaud Begyn},
journal= {arXiv preprint arXiv:0709.0598},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.3150/07-BEJ5112 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)