Bookcover of Generalized Quadratic Variations of Gaussian Processes
Booktitle:

Generalized Quadratic Variations of Gaussian Processes

Limit Theorems and Applications to Fractional Gaussian Processes

VDM Verlag Dr. Müller (2009-08-05 )

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ISBN-13:

978-3-639-18800-4

ISBN-10:
3639188004
EAN:
9783639188004
Book language:
English
Blurb/Shorttext:
This book is about "generalized quadratic variations of Gaussian processes". Generalized quadratic variations means that we consider mathematical objects wich are generalization of the classical quadratic variations used in semi-martingale theory. The Gaussian processes studied in this work are of fractional type, that is they resemble the fractional Brownian motion (FBM). In FBM theory, mathematicians consider second order quadratic variations which yield good estimation of the Hurst index of FBM. The aim of this work is to generalize this results to other fractional processes, without stationarity or harmonizable representation assumptions.
Publishing house:
VDM Verlag Dr. Müller
Website:
http://www.vdm-verlag.de
By (author) :
Arnaud Bégyn
Number of pages:
168
Published on:
2009-08-05
Stock:
Available
Category:
Mathematics
Price:
68.00 €
Keywords:
Probability, Statistics, Brownian, estimation, Variations, Fractional

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