Variations and estimators for self-similarity parameters via Malliavin calculus (Q971934): Difference between revisions
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scientific article
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English | Variations and estimators for self-similarity parameters via Malliavin calculus |
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Variations and estimators for self-similarity parameters via Malliavin calculus (English)
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17 May 2010
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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 \(\mathbb Z\).
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Hermite process
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Rosenblatt process
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Malliavin calculus
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noncentral limit theorem
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