Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Asymptotic Behavior of the Weighted Cross-Variation of a Fractional Brownian Sheet

  • Received : 2011.11.09
  • Accepted : 2012.03.06
  • Published : 2012.05.31
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Abstract

By using the techniques of a Malliavin calculus, we study the asymptotic behavior of the weighted cross-variation of a fractional Brownian sheet with a Hurst parameter $H=(H_1,H_2)$ such that 0 < $H_1$ < 1/2 and 0 < $H_1$ < 1/2.

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References

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