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Asymptotic behavior of the weighted cross-variation with respect to fractional Brownian sheet

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Abstract

By using the techniques of Malliavin calculus, we investigate the asymptotic behavior of the weighted cross-variation of fractional Brownian sheet with the case when Hurst parameter H = (H1, H2) belongs to (0, 1/2) × (1/2, 1) or (1/2, 1) × (0, 1/2).

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Authors and Affiliations

  1. Department of Statistics, Hallym University, Chuncheon, Gangwon-Do, 200-702, Korea

    Yoon Tae Kim

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  1. Yoon Tae Kim
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Correspondence to Yoon Tae Kim.

Additional information

This research was supported by Hallym University Research Fund, 2014(HRF-201401-009)

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Kim, Y.T. Asymptotic behavior of the weighted cross-variation with respect to fractional Brownian sheet. J. Korean Stat. Soc. 44, 202–210 (2015). https://doi.org/10.1016/j.jkss.2014.07.004

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  • DOI: https://doi.org/10.1016/j.jkss.2014.07.004

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