QUADRATIC VARIATIONS AND ESTIMATION OF THE LOCAL HOLDER INDEX OF A GAUSSIAN PROCESS

Authors
ISTAS J LANG G
Citation
J. Istas et G. Lang, QUADRATIC VARIATIONS AND ESTIMATION OF THE LOCAL HOLDER INDEX OF A GAUSSIAN PROCESS, Annales de l'I.H.P. Probabilites et statistiques, 33(4), 1997, pp. 407-436
Citations number
24
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annales de l'I.H.P. Probabilites et statistiques → ACNP
ISSN journal
02460203
Volume
33
Issue
4
Year of publication
1997
Pages
407 - 436
Database
ISI
SICI code
0246-0203(1997)33:4<407:QVAEOT>2.0.ZU;2-Z
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.