A Central Limit Theorem for the Generalized Quadratic Variation of the Step Fractional Brownian MotionReportar como inadecuado




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1 LPP - Laboratoire Paul Painlevé 2 IJL - Institut Jean Lamour 3 COMPLEX - Artificial Evolution and Fractals Inria Paris-Rocquencourt

Abstract : 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.

Keywords : Generalized quadratic variation Step fractional Brownian motion Hurst index Detection of abrupt changes Random wavelet series Generalized quadratic variation.





Autor: Antoine Ayache - Pierre Bertrand - Jacques Lévy Véhel -

Fuente: https://hal.archives-ouvertes.fr/



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