Journal article

Asymptotic Behavior Of Mixed Power Variations And Statistical Estimation In Mixed Models

Year:

2015

Published in:

Statistical Inference for Stochastic Processes

Authors:

, ,

Power variation

Fractional Brownian motion

Hurst parameter

Wiener process

Consistent estimator

We obtain results on both weak and almost sure asymptotic behaviour of power variations of a linear combination of independent Wiener process and fractional Brownian motion. These results are used to construct strongly consistent parameter estimators in mixed models.

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