Variations and estimators for self-similarity parameters via Malliavin calculus

DOI10.1214/09-AOP459zbMath1196.60036arXiv0709.3896OpenAlexW1634894495MaRDI QIDQ971934

Ciprian A. Tudor, Frederi G. Viens

Publication date: 17 May 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.3896

zbMATH Keywords

Malliavin calculusRosenblatt processHermite processnoncentral limit theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

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Uses Software

• longmemo

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