On the rate of convergence in non-central asymptotics of the Hermite variations of fractional Brownian sheet

• Autorzy: Breton J. -C
• Języki publikacji: EN

Abstrakty

EN

The Hermite variations of the anisotropic fractional Brownian sheet enjoy similar behaviour to that for the fractional Brownian motion: central (convergence to a normal distribution) or non-central (convergence to a Hermite-type distribution). In this note, we investigate the rate of convergence in the non-central case.

Słowa kluczowe

EN

convergence in variation; fractional Brownian sheet; multiple stochastic integrals; limit theorems

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2011
• Tom: Vol. 31, Fasc. 2
• Strony: 301--311
• Opis fizyczny: Bibliogr. 14 poz.

Twórcy

autor

Breton J. -C

• Université de Rennes 1, IRMAR, 263 Avenue du General Leclerc CS 74205, 35042 Rennes cedex, France

Bibliografia

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