Quadratic variation for Gaussian processes and application to time deformation
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Publication:1613618
DOI10.1016/S0304-4149(99)00037-XzbMath0997.60038MaRDI QIDQ1613618
Publication date: 29 August 2002
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
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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- Variations de champs Gaussiens stationnaires: Application à l'idéntification. (Variations of stationary Gaussian fields: Application to identification)
- 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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