Quadratic variation for Gaussian processes and application to time deformation

We are interested in the functional convergence in distribution of the process of quadratic variations taken along a regular partition for a large class of Gaussian processes indexed by [0,1], including the standard Wiener process as a particular case. This result is applied to the estimation of a time deformation that makes a non-stationary Gaussian process stationary.

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Year of publication:	1999
Authors:	Perrin, Olivier
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 82.1999, 2, p. 293-305
Publisher:	Elsevier
Keywords:	Estimation Functional convergence in distribution Quadratic variation process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873203