Singularity functions for fractional processes : application to the fractional Brownian sheet

Abstract

In this paper almost sure convergence and asymptotic normality of generalized quadratic variation are studied. The main result in this paper extend classical results from Baxter and Gladyshev so that they can be applied to fractional Gaussian processes. An application to the estimation of the true axes of a fractional Brownian sheet is also obtained. Résum… (More)

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Cite this paper

@inproceedings{Cohen2017SingularityFF, title={Singularity functions for fractional processes : application to the fractional Brownian sheet}, author={Serge Cohen and Xavier Guyon and Olivier Perrin and Monique Pontier}, year={2017} }