Central Limit Theorem of the Cross Variation Related to Fractional Brownian Sheet

Title & Authors
Central Limit Theorem of the Cross Variation Related to Fractional Brownian Sheet
Kim, Yoon-Tae;

Abstract
By using Malliavin calculus, we study a central limit theorem of the cross variation related to fractional Brownian sheet with Hurst parameter H = ($\small{H_1}$, $\small{H_2}$) such that 1/4 < $\small{H_1}$ < 1/2 and 1/4 < $\small{H_2}$ < 1/2.
Keywords
Malliavin calculus;fractional Brownian sheet;central limit theorem;cross variation;multiple stochastic integral;
Language
English
Cited by
1.
Asymptotic Behavior of the Weighted Cross-Variation of a Fractional Brownian Sheet,;

Communications for Statistical Applications and Methods, 2012. vol.19. 3, pp.303-313
1.
Asymptotic Behavior of the Weighted Cross-Variation of a Fractional Brownian Sheet, Communications for Statistical Applications and Methods, 2012, 19, 3, 303
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