Power variation for Gaussian processes with stationary increments

Stochastic Processes and their Applications

Volumn 119, Issue 6, 2009, Pages 1845-1865

  Barndorff Nielsen, Ole E ^a   Corcuera, José Manuel ^b   Podolskij, Mark ^a  

^a AARHUS UNIVERSITY   (Denmark)

^b UNIVERSITY OF BARCELONA   (Spain)

Author keywords

Central limit theorem; Chaos expansion; Gaussian processes; High frequency data; Multiple Wiener It integrals; Power variation

Indexed keywords

CENTRAL LIMIT THEOREM; CHAOS EXPANSION; GAUSSIAN PROCESSES; HIGH-FREQUENCY DATA; POWER VARIATION;

BROWNIAN MOVEMENT; CORUNDUM; GAUSSIAN DISTRIBUTION; GAUSSIAN NOISE (ELECTRONIC); HOLMIUM; RANDOM VARIABLES; TRELLIS CODES;

IMAGE CODING;

EID: 64249171835     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2008.09.004     Document Type: Article

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