Power variation of some integral fractional processes
- Corcuera Valverde, José Manuel
- Nualart, David, 1951-
- Woerner, Jeannette H.C.
Publication date
January 2006
DOI Publisher
Bernoulli Society for Mathematical Statistics and Probability ISSN
1350-7265 Journal
Bernoulli Citation count (estimate)
69Abstract
We consider the asymptotic behaviour of the realized power variation of processes of the form ¿t0usdBHs, where BH is a fractional Brownian motion with Hurst parameter H E(0,1), and u is a process with finite q-variation, q<1/(1¿H). We establish the stable convergence of the corresponding fluctuations. These results provide new statistical tools to study and detect the long-memory effect and the Hurst parameter
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