Variations and Hurst index estimation for a Rosenblatt process using longer filters (Q1952030): Difference between revisions

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Variations and Hurst index estimation for a Rosenblatt process using longer filters
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    Variations and Hurst index estimation for a Rosenblatt process using longer filters (English)
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    27 May 2013
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    multiple Wiener integral
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    Rosenblatt process
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    fractional Brownian motion
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    non-central limit theorem
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    quadratic variation
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    self-similarity
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    Malliavin calculus
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    parameter estimation
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