Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence (Q5943715)

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scientific article; zbMATH DE number 1652598
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Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence
scientific article; zbMATH DE number 1652598

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    Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence (English)
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    21 April 2002
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    The paper is concerned with the important and difficult problem of sharp convergence rate in non-central limit theorems. The authors provide the rate of convergence (in the uniform Kolmogorov distance) of probability distributions of normalized integral functionals of Gaussian processes with long-range dependence to a limiting non-Gaussian distribution called the Rosenblatt distribution. For technical reasons, they use the covariance function \(B(t)\) of the Gaussian processes of the form \(B(t)= 1/(1+ t^2)^{\alpha/2}\), \(0< \alpha< 1\), \(-\infty< t<\infty\).
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    rate of convergence
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    non-central limit theorem
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    Gaussian processes
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    long-range dependence
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