Variations and Hurst index estimation for a Rosenblatt process using longer filters

DOI10.1214/09-EJS423zbMath1326.60046arXiv0912.3148OpenAlexW2102147328MaRDI QIDQ1952030

Ciprian A. Tudor, Alexandra Chronopoulou, Frederi G. Viens

Publication date: 27 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.3148

zbMATH Keywords

parameter estimationfractional Brownian motionMalliavin calculusself-similarityRosenblatt processmultiple Wiener integralnon-central limit theoremquadratic variation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Related Items (20)

An optimal approximation of Rosenblatt sheet by multiple Wiener integrals ⋮ Approximation of the Rosenblatt sheet ⋮ A stochastic calculus for Rosenblatt processes ⋮ A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter ⋮ The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications ⋮ Asymptotic normality for a modified quadratic variation of the Hermite process ⋮ An approximation to the Rosenblatt process using martingale differences ⋮ Estimating self-similarity through complex variations ⋮ On limit theory for Lévy semi-stationary processes ⋮ Statistical estimation of Lévy-type stochastic volatility models ⋮ A weak convergence to Hermite process by martingale differences ⋮ Wiener integrals with respect to the Hermite random field and applications to the wave equation ⋮ Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion ⋮ Statistical inference for Vasicek-type model driven by Hermite processes ⋮ Power variations for fractional type infinitely divisible random fields ⋮ Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus ⋮ Approximation of the Rosenblatt process by semimartingales ⋮ Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus ⋮ Donsker type theorem for fractional Poisson process ⋮ Weak convergence to Rosenblatt sheet

Uses Software

• longmemo

Cites Work

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