Multipower variation for Brownian semistationary processes
In this paper we study the asymptotic behaviour of power and multipower variations of processes Y : Yt = Z t 1 g(t s) sW (ds) +Zt
| Autores: | , , |
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| Formato: | artículo |
| Estado: | Versión publicada |
| Fecha de publicación: | 2011 |
| País: | España |
| Recursos: | Universidad de Barcelona |
| Repositorio: | Dipòsit Digital de la UB |
| OAI Identifier: | oai:diposit.ub.edu:2445/23393 |
| Acesso em linha: | https://hdl.handle.net/2445/23393 |
| Access Level: | acceso abierto |
| Palavra-chave: | Processos de moviment brownià Teorema del límit central Processos gaussians Brownian motion processes Central limit theorem Gaussian processes |
| Resumo: | In this paper we study the asymptotic behaviour of power and multipower variations of processes Y : Yt = Z t 1 g(t s) sW (ds) +Zt |
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