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http://dx.doi.org/10.5351/CKSS.2011.18.6.851

Central Limit Theorem of the Cross Variation Related to Fractional Brownian Sheet  

Kim, Yoon-Tae (Department of Statistics, Hallym University)
Publication Information
Communications for Statistical Applications and Methods / v.18, no.6, 2011 , pp. 851-857 More about this Journal
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.
Keywords
Malliavin calculus; fractional Brownian sheet; central limit theorem; cross variation; multiple stochastic integral;
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Times Cited By KSCI : 1  (Citation Analysis)
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