Singularity functions for fractional processes : application to the fractional Brownian sheet
Résumé
In this paper, almost sure convergence and asymptotic normality of generalized quadratic variation are studied. The main result extend classical results of Baxter and Gladyshev so that they can be applied to fractional Gaussian processes. An application to the estimation of the true axes of a fractional Brownian shett and his parameters is also obtained.
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