Open AccessSingularity functions for fractional processes: application to the fractional Brownian sheet
Author(s) -
Serge Cohen,
Xavier Guyon,
Olivier Perrin,
Monique Pontier
Publication year - 2005
Publication title -
annales de l institut henri poincaré probabilités et statistiques
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.121
H-Index - 53
eISSN - 1778-7017
pISSN - 0246-0203
DOI - 10.1016/j.anihpb.2005.03.002
Subject(s) - mathematics , quadratic variation , fractional brownian motion , brownian motion , singularity , mathematical analysis , calculus (dental) , statistics , medicine , dentistry
In this paper, almost sure convergence and asymptotic normality of generalized quadratic variation are studied. The main result extend classical results of Baxter and Gladyshev so that they can be applied to fractional Gaussian processes. An application to the estimation of the true axes of a fractional Brownian shett and his parameters is also obtained
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom