Quadratic variation for Gaussian processes and application to time deformation

DOI10.1016/S0304-4149(99)00037-XzbMath0997.60038MaRDI QIDQ1613618

Olivier Perrin

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

estimationquadratic variation processfunctional convergence in distribution

Mathematics Subject Classification ID

Gaussian processes (60G15) General second-order stochastic processes (60G12) Sample path properties (60G17) Functional limit theorems; invariance principles (60F17)

Related Items (7)

The effect of the regularity of the error process on the performance of kernel regression estimators ⋮ Notes on spherical bifractional Brownian motion ⋮ Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences ⋮ Semi-parametric estimation of the variogram scale parameter of a Gaussian process with stationary increments ⋮ Identification of space deformation using linear and superficial quadratic variations ⋮ Functional limit theorems for generalized quadratic variations of Gaussian processes ⋮ Identification of an isometric transformation of the standard Brownian sheet

Cites Work

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• Non-parametric estimation of the long-range dependence exponent for Gaussian processes
• Uniform quadratic variation for Gaussian processes
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Reducing non-stationary stochastic processes to stationarity by a time deformation
• A Strong Limit Theorem for Gaussian Processes
• A New Limit Theorem for Stochastic Processes with Gaussian Increments

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