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Quadratic variation for Gaussian processes and application to time deformation

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  • Perrin, Olivier

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.

Suggested Citation

  • Perrin, Olivier, 1999. "Quadratic variation for Gaussian processes and application to time deformation," Stochastic Processes and their Applications, Elsevier, vol. 82(2), pages 293-305, August.
    • Handle: RePEc:eee:spapps:v:82:y:1999:i:2:p:293-305
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    References listed on IDEAS

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    1. Adler, Robert J. & Pyke, Ron, 1993. "Uniform quadratic variation for Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 48(2), pages 191-209, November.
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    Cited by:

    1. Bégyn, Arnaud, 2007. "Functional limit theorems for generalized quadratic variations of Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 117(12), pages 1848-1869, December.

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