Copertina di Generalized Quadratic Variations of Gaussian Processes
Titolo del libro:

Generalized Quadratic Variations of Gaussian Processes

Limit Theorems and Applications to Fractional Gaussian Processes

VDM Verlag Dr. Müller (05.08.2009 )

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ISBN-13:

978-3-639-18800-4

ISBN-10:
3639188004
EAN:
9783639188004
Lingua del libro:
Inglese
Risvolto di copertina:
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.
Casa editrice:
VDM Verlag Dr. Müller
Sito Web:
http://www.vdm-verlag.de
Da (autore):
Arnaud Bégyn
Numero di pagine:
168
Pubblicato il:
05.08.2009
Giacenza di magazzino:
Disponibile
categoria:
Matematica
Prezzo:
68,00 €
Parole chiave:
Probability, Statistics, Brownian, estimation, Variations, Fractional

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