Bipower Variation for Gaussian Processes with Stationary Increments

Authors:

1 March 2009

journal article
research article
Published by Cambridge University Press (CUP) in Journal of Applied Probability

Vol. 46 (01) , 132-150
DOI:10.1017/s0021900200005271

Abstract

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

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