Convergence en loi des H-variations d'un processus gaussien stationnaire sur R

Xavier Guyon; José Leon

Annales de l'I.H.P. Probabilités et statistiques (1989)

  • Volume: 25, Issue: 3, page 265-282
  • ISSN: 0246-0203

How to cite

top

Guyon, Xavier, and Leon, José. "Convergence en loi des H-variations d'un processus gaussien stationnaire sur R." Annales de l'I.H.P. Probabilités et statistiques 25.3 (1989): 265-282. <http://eudml.org/doc/77352>.

@article{Guyon1989,
author = {Guyon, Xavier, Leon, José},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {convergence in law; H-variations; stationary Gaussian process},
language = {fre},
number = {3},
pages = {265-282},
publisher = {Gauthier-Villars},
title = {Convergence en loi des H-variations d'un processus gaussien stationnaire sur R},
url = {http://eudml.org/doc/77352},
volume = {25},
year = {1989},
}

TY - JOUR
AU - Guyon, Xavier
AU - Leon, José
TI - Convergence en loi des H-variations d'un processus gaussien stationnaire sur R
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1989
PB - Gauthier-Villars
VL - 25
IS - 3
SP - 265
EP - 282
LA - fre
KW - convergence in law; H-variations; stationary Gaussian process
UR - http://eudml.org/doc/77352
ER -

References

top
  1. [1] W. Feller, An Introduction to Probability Theory and its Application, Tome II, J. Wiley, 1966. Zbl0138.10207MR210154
  2. [2] M. Guel'fand et N. Ya. Vilenkin, Generalized Functions, vol. 4: Applications of Harmonic Analysis, Acad. Press, 1964. MR173945
  3. [3] M. Rosenblatt, Independence and Dependence, Proc. 4th Berkeley Symposium on Math. Stat. and Proba., 1961, p. 431-443. Zbl0105.11802MR133863
  4. [4] B. Simon, The P(Φ)2 Euclidian Quantum Field Theory, Princeton Univ. Press, 1974. Zbl1175.81146MR489552
  5. [5] M. Taqqu, Weak Convergence to Fractional Brownian Motion and to the Rosenblatt Process, Z. W. verb. Geb., vol. 31, 1975, 287-303. Zbl0303.60033MR400329
  6. [6] M. Rosenblatt, Some Limit Theorems for Partial Sums of Quadratic Forms in Stationary Gaussian Variables, Z. W. veb. Geb., vol. 49, 1979, p. 125-132. Zbl0388.60048MR543988
  7. [7] R.L. Dobrushin et P. Major, Non Central Limit Theorems for Non-Linear Functional of Gaussian Fields, Z. W. verb. Geb., vol. 50, 1979, p. 27-52. Zbl0397.60034MR550122
  8. [8] M. Taqqu, Convergence of Integrated Processes of Arbitrary Hermite Rank, Z. W. verb. Geb., vol. 50, 1979, p. 53-83. Zbl0397.60028MR550123
  9. [9] M. Taqqu, Law of the Iterated Logarithm for Sums of Non-Linear Functions of Gaussian Variables that Exhibit a Long Range Dependence, Z. W. verb. Geb., vol. 40, 1977, p. 203-238. Zbl0358.60048MR471045
  10. [10] P. Major, Multiple Wiener-Ito Integrals, L.N.M., n° 849, Springer-Verlag, 1981. Zbl0451.60002MR611334
  11. [11] P. Breuer et P. Major, Central Limit Theorems for Non-Linear Functionals of Gaussian Fields, J. Multi. Anal., vol. 13, 1981, p. 425-441. Zbl0518.60023MR716933
  12. [12] X. Guyon, Variations des Champs Gaussiens stationnaires, Application à l'identification, Proba. Th. Rel. Fields, vol. 75, 1987, p. 179-193. Zbl0596.60051MR885461
  13. [13] J. Ortega, On the Variation of Gaussian Processes and Fields, Preprint U.C.V., Caracas, 1988. MR1058507
  14. [14] L. De Haan, On Regular Variation and its Application to the Weak Convergence of Sample Extremes, Mathematical Centre Tracts n° 032, Math. Centre, Amsterdam, 1970. Zbl0226.60039MR286156

Citations in EuDML Documents

top
  1. Jean-Marc Bardet, Les cours d'actifs financiers sont-ils autosimilaires ?
  2. Jacques Istas, Gabriel Lang, Quadratic variations and estimation of the local Hölder index of a gaussian process
  3. Serge Cohen, Xavier Guyon, Olivier Perrin, Monique Pontier, Singularity functions for fractional processes : application to the fractional brownian sheet
  4. Jacques Istas, Identification des paramètres d'un processus gaussien fractionnaire
  5. Pierre Raphaël Bertrand, Mehdi Fhima, Arnaud Guillin, Local estimation of the Hurst index of multifractional brownian motion by increment ratio statistic method
  6. Jacques Istas, Manifold indexed fractional fields
  7. Jacques Istas, Manifold indexed fractional fields

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.