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

页码：407 / 436

页数：30

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