QUADRATIC VARIATIONS AND ESTIMATION OF TH E LOCAL HOLDER INDEX OF A GAUSSIAN PROCESS

Authors
ISTAS J LANG G
Citation
J. Istas et G. Lang, QUADRATIC VARIATIONS AND ESTIMATION OF TH E LOCAL HOLDER INDEX OF A GAUSSIAN PROCESS, Comptes rendus de l'Academie des sciences. Serie 1, Mathematique, 319(2), 1994, pp. 201-206
Citations number
5
Categorie Soggetti
Mathematics, General",Mathematics
Journal title
Comptes rendus de l'Academie des sciences. Serie 1, Mathematique → ACNP
ISSN journal
07644442
Volume
319
Issue
2
Year of publication
1994
Pages
201 - 206
Database
ISI
SICI code
0764-4442(1994)319:2<201:QVAEOT>2.0.ZU;2-0
Abstract
We study the convergence of a generalisation of the quadratic variatio ns of a gaussian process. We build a convergent estimator of the local Holder index of the sample paths and prove a central limit theorem.