Variations and Hurst index estimation for a Rosenblatt process using longer filters
نویسندگان
چکیده
منابع مشابه
Variations and Hurst index estimation for a Rosenblatt process using longer filters
The Rosenblatt process is a self-similar non-Gaussian process which lives in second Wiener chaos, and occurs as the limit of correlated random sequences in so-called “noncentral limit theorems”. It shares the same covariance as fractional Brownian motion. We study the asymptotic distribution of the quadratic variations of the Rosenblatt process based on long filters, including filters based on ...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2009
ISSN: 1935-7524
DOI: 10.1214/09-ejs423