A weak convergence to Hermite process by martingale differences
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Summary: We consider the weak convergence to a general Hermite process \(Z_{H,k}\) of order \(k\) with index \(H\). By applying martingale differences, we construct a sequence \(\{Z^{(n)}_{H,k}: n = 1,2, \ldots \}\) of multiple Wiener-Itō stochastic integrals such that it converges in distribution to the Hermite process \(Z_{H,k}\).
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