Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes

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dc.creatorBegyn, Arnaud
dc.date2007-09-05
dc.date.accessioned2026-07-07T08:28:58Z
dc.date.available2026-07-07T08:28:58Z
dc.descriptionCohen, 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.
dc.descriptionPublished 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)
dc.identifierhttps://arxiv.org/abs/0709.0598
dc.identifierhttp://arxiv.org/abs/0709.0598
dc.identifierBernoulli 2007, Vol. 13, No. 3, 712-753
dc.identifierdoi:10.3150/07-BEJ5112
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/137807
dc.subjectProbability
dc.titleAsymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
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