Generalized Quadratic Variations of Gaussian Processes : Limit Theorems and Applications to Fractional Gaussian Processes
Language: English
Published by VDM Verlag Dr. Müller, 2009
- Softcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
Condition: New
£ 60.24
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Add to basketItem description from seller
nach der Bestellung gedruckt Neuware - Printed after ordering - This book is about 'generalized quadratic variations of Gaussian processes'. Generalized quadratic variations means that we consider mathematical objects wich are generalization of the classical quadratic variations used in semi-martingale theory. The Gaussian processes studied in this work are of fractional type, that is they resemble the fractional Brownian motion (FBM). In FBM theory, mathematicians consider second order quadratic variations which yield good estimation of the Hurst index of FBM. The aim of this work is to generalize this results to other fractional processes, without stationarity or harmonizable representation assumptions.
Seller Inventory # 9783639188004
- Title
- Generalized Quadratic Variations of Gaussian Processes : Limit Theorems and Applications to Fractional Gaussian Processes
- Author
- Arnaud Bégyn
- Publisher
- VDM Verlag Dr. Müller
- Publication year
- 2009
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3639188004
- ISBN 13
- 9783639188004
- Item weight
- 240 grams
- Dimensions
- 220x150x9 mm
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