Bipower Variation for Gaussian Processes with Stationary Increments
29 Pages Posted: 22 Jun 2008
Date Written: May 8, 2008
Convergence in probability and central limit laws of bipower variation for Gaussian processes with stationary increments and for integrals with respect to such processes are derived. The main tools of the proofs are some recent powerful techniques of Wiener/Itô/Malliavin calculus for establishing limit laws, due to Nualart, Peccati and others.
Keywords: Bipower Variation, Central Limit Theorem, Chaos Expansion, Gaussian Processes, Multiple Wiener-Itô Integrals
Suggested Citation: Suggested Citation
Barndorff-Nielsen, Ole E. and Corcuera, José Manuel and Podolskij, Mark and Woerner, Jeanette, Bipower Variation for Gaussian Processes with Stationary Increments (May 8, 2008). Available at SSRN: https://ssrn.com/abstract=1148172 or http://dx.doi.org/10.2139/ssrn.1148172
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