Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders

DOI10.1016/j.spa.2014.02.013zbMath1333.60072arXiv1402.1710OpenAlexW1983523208MaRDI QIDQ402492

Ciprian A. Tudor, Marianne Clausel, François Roueff, Murad S. Taqqu

Publication date: 28 August 2014

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

Full work available at URL: https://arxiv.org/abs/1402.1710

zbMATH Keywords

long-range dependenceself-similar processescovariationquadratic variationWiener chaosHermite processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (4)

Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes ⋮ Limiting behavior of large correlated Wishart matrices with chaotic entries ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes ⋮ PRICING DERIVATIVES IN HERMITE MARKETS

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