Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Central Limit Theorem of the Cross Variation Related to Fractional Brownian Sheet

  • Received : 20110500
  • Accepted : 20110900
  • Published : 2011.11.30
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Abstract

By using Malliavin calculus, we study a central limit theorem of the cross variation related to fractional Brownian sheet with Hurst parameter H = ($H_1$, $H_2$) such that 1/4 < $H_1$ < 1/2 and 1/4 < $H_2$ < 1/2.

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References

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Cited by

  1. Asymptotic Behavior of the Weighted Cross-Variation of a Fractional Brownian Sheet vol.19, pp.3, 2012, https://doi.org/10.5351/CKSS.2012.19.3.303
  2. Berry-Esséen bounds and almost sure CLT for quadratic variation of weighted fractional Brownian motion vol.2013, pp.1, 2013, https://doi.org/10.1186/1029-242X-2013-275