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Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
15 references·2 citing·27 second hop
Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes (2011)Self-similarity parameter estimation and …Variations of the solution to a stochastic heat equation (2012)Variations of the solution to…Central and non-central limit theorems for weighted power variations of fractional Brownian motion (2010)Central and non-central limit…Weighted power variations of iterated Brownian motion (2008)Weighted power variations of …Analysis of the Rosenblatt process (2008)Analysis of the Rosenblatt pr…Central limit theorems for multiple stochastic integrals and Malliavin calculus (2007)Central limit theorems for mu…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Central limit theorems for sequences of multiple stochastic integrals (2005)Central limit theorems for se…Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths (2001)Estimating the Parameters of …Quadratic variations and estimation of the local Hölder index of a Gaussian process (1997)Quadratic variations and esti…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…Convergence en loi des H-variations d'un processus gaussien stationnaire sur R (1989)Convergence en loi des H-vari…Convergence of integrated processes of arbitrary Hermite rank (1979)Convergence of integrated pro…Weak convergence to fractional Brownian motion and to the Rosenblatt process (1975)Weak convergence to fractiona…Power variation for a class of stationary increments Lévy driven moving averages (2017)Power variation for a class o…Quadratic variations for the fractional-colored stochastic heat equation (2014)Quadratic variations for the …Fractional Brownian Motions, Fractional Noises and Applications (1968)Bootstrap for Empirical Multifractal Analysis (2007)Estimators of fractal dimension: Assessing the roughness of time series and spatial data (2010)Estimators of Fractal Dimension: Assessing the Roughness of Time Series and Spatial Data (2012)Multiple Wiener Integral (1951)Multivariate normal approximation using Stein’s method and Malliavin calculus (2010)Stein’s method and Normal approximation of Poisson functionals (2010)Parameter estimation for fractional Ornstein–Uhlenbeck processes of general Hurst parameter (2017)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Alternative forms of fractional Brownian motion (1999)Stein’s method on Wiener chaos (2008)Modelling Nonlinear Economic Time Series (2010)Approach to an irregular time series on the basis of the fractal theory (1988)Continuous Martingales and Brownian Motion (1999)Gaussian Limits for Vector-valued Multiple Stochastic Integrals (2004)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Variations and estimators for the selfsimilarity order through Malliavin calculus (2007)Rate of convergence and asymptotic error distribution of Euler approximation schemes for fractional diffusions (2016)Wavelet analysis of long-range-dependent traffic (1998)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)Scaling of the distribution of fluctuations of financial market indices (1999)Robust dynamic classes revealed by measuring the response function of a social system (2008)
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  • 2007Central limit theorems for multiple stochastic integrals and Malliavin calculus221 cited
  • 2001Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths193 cited
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  • 2012Variations of the solution to a stochastic heat equation57 cited
  • 2008Weighted power variations of iterated Brownian motion

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41 cited

Cited by

  • 2014Quadratic variations for the fractional-colored stochastic heat equation29 cited
  • 2017Power variation for a class of stationary increments Lévy driven moving averages28 cited