A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter

DOI10.1016/j.spa.2010.08.003zbMath1203.60043arXiv0811.2664OpenAlexW1987703160WikidataQ105583763 ScholiaQ105583763MaRDI QIDQ608212

Ciprian A. Tudor, Jean-Marc Bardet

Publication date: 25 November 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0811.2664

zbMATH Keywords

parameter estimationfractional Brownian motionself-similaritywavelet analysisRosenblatt processnoncentral limit theoremmultiple Wiener-Itô integral

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

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Uses Software

• longmemo

Cites Work

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