Variations and estimators for self-similarity parameters via Malliavin calculus (Q971934): Difference between revisions

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 \(\mathbb Z\).