Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion

Breton, Jean-Christophe; Nourdin, Ivan

doi:10.1214/ECP.v13-1415

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Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion

Breton, Jean-Christophe; Nourdin, Ivan

2008 • In Electronic Communications in Probability, 13, p. 482-493

Peer Reviewed verified by ORBi

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https://hdl.handle.net/10993/19282

DOI
10.1214/ECP.v13-1415

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Disciplines :

Mathematics

Author, co-author :

Breton, Jean-Christophe

Nourdin, Ivan ; University of Luxembourg > Faculty of Science, Technology and Communication (FSTC) > Mathematics Research Unit

Language :

English

Title :

Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion

Publication date :

2008

Journal title :

Electronic Communications in Probability

ISSN :

1083-589X

Publisher :

Institute of Mathematical Statistics, Beachwood, United States - Ohio

Volume :

Pages :

482-493

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBilu :

since 23 December 2014

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