LAN property for some fractional type Brownian motion
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Publication:2866822
zbMath1281.62061arXiv1111.1077MaRDI QIDQ2866822
Céline Lacaux, Serge Cohen, Fabrice Gamboa, Jean-Michel Loubes
Publication date: 9 December 2013
Full work available at URL: https://arxiv.org/abs/1111.1077
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Brownian motion (60J65)
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