FRACTIONAL BROWNIAN SHEET HOJA BROWNIANA FRACCIONAL

Autor: Blanco Castañeda Liliana, Garzón Merchán Johanna

Publikováno v: Revista Colombiana de Estadística, Vol 28, Iss 2, Pp 193-205 (2005)

Fractional brownian sheet or two parameter fractional brownian motion and some important properties with selfsimilar and stationary increments are presented. Moreover, two representations for hBf analogous to moving average and on an interval represe

Externí odkaz: https://doaj.org/article/f1941616d7d145629787346591d942a3

Nonparametric detection of changepoints for sequentially observed data

Autor: Dietmar Ferger

Publikováno v: Stochastic Processes and their Applications. 51(2):359-372

Assume that independent data X n 1 ,…, X n k ( n ) are observed sequentially in time, where k ( n ) θ ∈ (0, 1] such that X n 1 ,…, X n [ k ( n ) θ ] have distribution ν 1, n and X n [ k ( n ) θ ]+1 ,…, X n k ( n ) have distribution ν 2,

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Estimation of quadratic variation for two-parameter diffusions

Autor: Anthony Réveillac

Publikováno v: Stochastic Processes and their Applications
Stochastic Processes and their Applications, Elsevier, 2008, 119 (05), pp.1652-1672. ⟨10.1016/j.spa.2008.08.006⟩

In this paper we give a central limit theorem for the weighted quadratic variations process of a two-parameter Brownian motion. As an application, we show that the discretized quadratic variations $\sum_{i=1}^{[n s]} \sum_{j=1}^{[n t]} | \Delta_{i,j}

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7cde2812a023a9d986cfe71121830123