| Central and non-central limit theorems for weighted power variations of fractional Brownian motion (2007) | |||||||||||||
Abstract | |||||||||||||
| In this paper, we prove some central and non-central limit theorems for renormalized weighted power variations of order q>1 of the fractional Brownian motion with Hurst parameter H in (0,1), where q is an integer. The central limit holds for 1/(2q) | |||||||||||||
Publication details | |||||||||||||
| |||||||||||||