HERMITE VARIATIONS OF THE FRACTIONAL BROWNIAN SHEET

DOI10.1142/S0219493711500213zbMath1263.60035arXiv1010.0143OpenAlexW2101894188MaRDI QIDQ2905264

Anthony Réveillac, Ciprian A. Tudor, Michael Stauch

Publication date: 27 August 2012

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.0143

zbMATH Keywords

weak convergenceMalliavin calculusBrownian sheetHermite variations

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Related Items (10)

Functional limit theorems for generalized variations of the fractional Brownian sheet ⋮ The Asymptotic Distribution of The Pathwise Mean Squared Displacement in Single Particle Tracking Experiments ⋮ Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences ⋮ Limit theorems for power variations of ambit fields driven by white noise ⋮ Asymptotic covariances for functionals of weakly stationary random fields ⋮ Asymptotic behavior for quadratic variations of non-Gaussian multiparameter Hermite random fields ⋮ Wiener integrals with respect to the Hermite random field and applications to the wave equation ⋮ On the rate of convergence to Rosenblatt-type distribution ⋮ Behavior of the Hermite sheet with respect to the Hurst index ⋮ Parameter estimation for SPDEs based on discrete observations in time and space

Cites Work

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