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Generalized Quadratic Variations of Gaussian Processes

Name: Generalized Quadratic Variations of Gaussian Processes
Brand: VDM Verlag Dr. Müller
SKU: 06826935
Price: 25081 HUF
Availability: InStock
Author: Arnaud Bégyn
ISBN: 9783639188004

Limit Theorems and Applications to Fractional Gaussian Processes

Arnaud Bégyn

Language

English

Book Paperback

Libristo code: 06826935

Publishers VDM Verlag Dr. Müller, November 2008

This book is about "generalized quadratic variations of Gaussian processes". Generalized quadratic v... Full description

Libristo code: 06826935

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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.

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About the book

Full name Generalized Quadratic Variations of Gaussian Processes

Author Arnaud Bégyn

Language

English

Binding Book - Paperback

Date of issue 2009

Number of pages 168

EAN 9783639188004

Libristo code 06826935

Publishers VDM Verlag Dr. Müller

Weight 240

Dimensions 150 x 220 x 9

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