Modified wavelet variation for the Hermite processes
From MaRDI portal
asymptotic normalitycentral limit theoremHermite processHurst parameter estimationmultiple Wiener-Itô integralsself-similarityStein-Malliavin calculusstrong consistencywavelet analysis
Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Asymptotic properties of parametric estimators (62F12)
Cites work
- A non-parametric estimator of the spectral density of a continuous-time Gaussian process observed at random times
- A representation for self-similar processes
- A theory for multiresolution signal decomposition: the wavelet representation
- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
- Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
- Asymptotic Cramer's theorem and analysis on Wiener space
- Asymptotic normality for a modified quadratic variation of the Hermite process
- Convergence of integrated processes of arbitrary Hermite rank
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Estimation of the Hurst parameter from discrete noisy data
- Fractional Brownian Motions, Fractional Noises and Applications
- Handbook of high-frequency trading and modeling in finance
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 1808203 (Why is no real title available?)
- scientific article; zbMATH DE number 1380579 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- scientific article; zbMATH DE number 7639714 (Why is no real title available?)
- Limiting behavior of large correlated Wishart matrices with chaotic entries
- Lower bound for local oscillations of Hermite processes
- Mouvement brownien et molécules.
- Multifractional processes with random exponent
- Non-central limit theorems for non-linear functional of Gaussian fields
- Normal approximations with Malliavin calculus. From Stein's method to universality
- On independence and conditioning on Wiener space
- On the pointwise regularity of the Multifractional Brownian Motion and some extensions
- Ondelettes et bases hilbertiennes. (Wavelets and Hilbert bases)
- Orthonormal bases of compactly supported wavelets
- PRICING DERIVATIVES IN HERMITE MARKETS
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
- Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
- Statistical inference for Vasicek-type model driven by Hermite processes
- Statistical study of the wavelet analysis of fractional Brownian motion
- Ten Lectures on Wavelets
- The Malliavin Calculus and Related Topics
- The wavelet-based synthesis for fractional Brownian motion proposed by F. Sellan and Y. Meyer: Remarks and fast implementation
- UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
- Variations and estimators for self-similarity parameters via Malliavin calculus
- Variations and Hurst index estimation for a Rosenblatt process using longer filters
- Wavelet analysis and synthesis of fractional Brownian motion
- Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
- Wavelet methods to study the pointwise regularity of the generalized Rosenblatt process
- Wavelet-based simulation of fractional Brownian motion revisited
- Wavelet-based synthesis of the Rosenblatt process
- Wavelet-type expansion of the generalized Rosenblatt process and its rate of convergence
- Wavelet-type expansion of the Rosenblatt process
- Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Wienersche Spiralen und einige andere interessante Kurven im Hilbertschen Raum.
Cited in
(3)
This page was built for publication: Modified wavelet variation for the Hermite processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6979855)
