A central limit theorem for a weighted power variation of a Gaussian process

DOI10.1007/s10986-014-9246-8zbMath1296.60089OpenAlexW2019161196MaRDI QIDQ406621

Raimondas Malukas, Rimas Norvaiša

Publication date: 8 September 2014

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-014-9246-8

zbMATH Keywords

central limit theoremlocally stationary incrementssubfractional Gaussian processbifractional gaussian processgaussian processesweighted power variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22)

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Cites Work

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• Berry-Esseen bounds and almost sure CLT for the quadratic variation of the bifractional Brownian motion
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• Berry-Esséen bounds and almost sure CLT for the quadratic variation of the sub-fractional Brownian motion
• Power variation for Gaussian processes with stationary increments
• Sub-fractional Brownian motion and its relation to occupation times
• Renormalized self-intersection local time for fractional Brownian motion
• Weighted power variation of integrals with respect to a Gaussian process
• A Strong Limit Theorem for Gaussian Processes
• A New Limit Theorem for Stochastic Processes with Gaussian Increments
• The Malliavin Calculus and Related Topics
• Le Mouvement Brownien Plan

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