Power Variation of Subfractional Brownian Motion and Application |
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| Authors: | Guangjun SHEN Litan YAN Junfeng LIU |
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| Institution: | 1. Department of Mathematics, Anhui Normal University, Wuhu 241000, China;2. Department of Mathematics, Donghua University, Shanghai 201620, China;3. School of Mathematics and Statistics, Nanjing Audit University, Nanjing 211815, China |
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| Abstract: | In this paper, we consider the power variation of subfractional Brownian motion. As an application, we introduce a class of estimators for the index of a subfractional Brownian motion and show that they are strongly consistent. |
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| Keywords: | subfractional Brownian motion power variation strongly consistent |
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