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Bipower variation for Gaussian processes with stationary increments

by Ole E. Barndorff-Nielsen, José Manuel Corcuera, Mark Podolskij and Jeannette H.C. Woerner
Thiele Research Reports Number 6 (May 2008)
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.
Format available: PDF (320 KB)
Published in J. Appl. Probab. 46, 132-150.