Asymptotic behavior of mixed power variations and statistical estimation in mixed models
classification
🧮 math.PR
stat.ME
keywords
mixedasymptoticmodelspowerresultsvariationsalmostbehavior
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We obtain results on both weak and almost sure asymptotic behaviour of power variations of a linear combination of independent Wiener process and fractional Brownian motion. These results are used to construct strongly consistent parameter estimators in mixed models.
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