International audienceThis 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
The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stoch...
International audienceIn certain applications, for instance biomechanics, turbulence, finance, or In...
We consider the asymptotic behaviour of the realized power variation of processes of the form ¿t0usd...
International audienceThis paper gives a central limit theorem for the generalized quadratic variati...
30 pages; minor changesInternational audienceIn this paper, we prove some central and non-central li...
We investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional ...
This book is devoted to a number of stochastic models that display scale invariance. It primarily fo...
International audienceThe use of diffusion models driven by fractional noise has become popular for ...
AbstractIn this paper, we derive explicit bounds for the Kolmogorov distance in the CLT and we prove...
This is the publisher's version, also available electronically from http://ecp.ejpecp.org/article/vi...
In this paper, almost sure convergence and asymptotic normality of generalized quadratic variation a...
In this thesis we apply the Malliavin calculus to statistical estimation of parameters of stochastic...
International audienceFirst we state the almost sure convergence for the $k$-power second order incr...
70 pages, 1 figureLet $B=(B^{(1)},B^{(2)})$ be a two-dimensional fractional Brownian motion with Hur...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stoch...
International audienceIn certain applications, for instance biomechanics, turbulence, finance, or In...
We consider the asymptotic behaviour of the realized power variation of processes of the form ¿t0usd...
International audienceThis paper gives a central limit theorem for the generalized quadratic variati...
30 pages; minor changesInternational audienceIn this paper, we prove some central and non-central li...
We investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional ...
This book is devoted to a number of stochastic models that display scale invariance. It primarily fo...
International audienceThe use of diffusion models driven by fractional noise has become popular for ...
AbstractIn this paper, we derive explicit bounds for the Kolmogorov distance in the CLT and we prove...
This is the publisher's version, also available electronically from http://ecp.ejpecp.org/article/vi...
In this paper, almost sure convergence and asymptotic normality of generalized quadratic variation a...
In this thesis we apply the Malliavin calculus to statistical estimation of parameters of stochastic...
International audienceFirst we state the almost sure convergence for the $k$-power second order incr...
70 pages, 1 figureLet $B=(B^{(1)},B^{(2)})$ be a two-dimensional fractional Brownian motion with Hur...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stoch...
International audienceIn certain applications, for instance biomechanics, turbulence, finance, or In...
We consider the asymptotic behaviour of the realized power variation of processes of the form ¿t0usd...
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