Title of article :
Quadratic variation for Gaussian processes and application to time deformation
Author/Authors :
Perrin، نويسنده , , Olivier، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 1999
Abstract :
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.
Keywords :
Functional convergence in distribution , Estimation , Quadratic variation process
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications