Quadratic variation for Gaussian processes and application to time deformation

Olivier Perrin

Stochastic Processes and their Applications, 1999, vol. 82, issue 2, 293-305

Abstract: We are interested in the functional convergence in distribution of the process of quadratic variations taken along a regular partition for a large class of Gaussian processes indexed by [0,1], including the standard Wiener process as a particular case. This result is applied to the estimation of a time deformation that makes a non-stationary Gaussian process stationary.

Keywords: Estimation; Functional; convergence; in; distribution; Quadratic; variation; process (search for similar items in EconPapers)
Date: 1999
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