Quadratic variations and estimation of the local Holder index of a Gaussian process

被引：242
|
作者：
Istas, J
Lang, G
机构：
[1] UNIV TOULOUSE 3,LAB STAT & PROBABIL,UA 745 CNRS,F-31062 TOULOUSE,FRANCE
[2] ECOLE NATL GENIE RURAL EAUX & FORETS,F-75732 PARIS 15,FRANCE
来源：
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES | 1997年 / 33卷 / 04期
关键词：
D O I：
10.1016/S0246-0203(97)80099-4
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We study the convergence of a generalisation of the quadratic variations of a Gaussian process. We build a convergent estimator of the local Holder index of the sample paths and prove a central limit theorem.
引用
收藏
页码：407 / 436
页数：30
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