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Article Dans Une Revue Probability and Mathematical Statistics Année : 2011

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

Résumé

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.
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Dates et versions

hal-00702931 , version 1 (31-05-2012)

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  • HAL Id : hal-00702931 , version 1

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Jean-Christophe Breton. On the rate of convergence in non-central asymptotics of the Hermite variations of fractional Brownian sheet. Probability and Mathematical Statistics, 2011, 31 (2), pp.301-311. ⟨hal-00702931⟩
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