Variations and estimators for self-similarity parameters via Malliavin calculus (Q971934): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q506096 |
||
Property / author | |||
Property / author: Frederi G. Viens / rank | |||
Revision as of 23:28, 15 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Variations and estimators for self-similarity parameters via Malliavin calculus |
scientific article |
Statements
Variations and estimators for self-similarity parameters via Malliavin calculus (English)
0 references
17 May 2010
0 references
The authors focus their attention on a specific non-Gaussian self-similar process, the so-called Rosenblatt process \(\mathbb Z\). This belongs to a class of self-similar process which also exhibit long-range dependence and which appear as limits in the non-central limit theorem: the class of Hermite process. They apply the results to the study of estimators for the self-similarity parameter of \(\mathbb Z\).
0 references
Hermite process
0 references
Rosenblatt process
0 references
Malliavin calculus
0 references
noncentral limit theorem
0 references