Multiple stochastic integrals with dependent integrators
From MaRDI portal
Publication:1105916
DOI10.1016/0047-259X(87)90101-1zbMath0649.60064MaRDI QIDQ1105916
Publication date: 1987
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Other special functions (33E99)
Related Items
Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors ⋮ Non-Gaussian scenarios for the heat equation with singular initial conditions ⋮ The spurious regression of AR(\(p\)) infinite-variance sequence in the presence of structural breaks ⋮ Sojourn in an elliptical domain ⋮ Non-Gaussian limit of a tracer motion in an incompressible flow ⋮ Asymptotics for the local time of a strongly dependent vector-valued Gaussian random field ⋮ On theL2-Theory of product stochastic measures and multiple wiener–ito integrals ⋮ 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 ⋮ On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications ⋮ Asymptotic properties of \(U\)-processes under long-range dependence ⋮ Unnamed Item ⋮ Asymptotic behaviour of the LS estimator in a nonlinear model with long memory ⋮ Asymptotic inference for LSE in multivariate continuous regression models with long-memory random fields. ⋮ The spurious regression of fractionally integrated processes ⋮ Large sample behaviour of some well-known robust estimators under long-range dependence ⋮ Parameter estimation for the Rosenblatt Ornstein-Uhlenbeck process with periodic mean ⋮ M-estimators in linear models with long range dependent errors ⋮ Asymptotic inference in some heteroscedastic regression models with long memory design and errors ⋮ On the Gaussian approximation of vector-valued multiple integrals ⋮ Cumulants on the Wiener space ⋮ Spectral properties of Burgers and KPZ turbulence ⋮ Analysis of the Rosenblatt process ⋮ Asymptotic behavior for S-estimators in random design linear model with long-range-dependent errors ⋮ Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes ⋮ Limit behavior of the Rosenblatt Ornstein–Uhlenbeck process with respect to the Hurst index ⋮ The S-estimator in the change-point random model with long memory
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multiple Wiener-Itô integrals. With applications to limit theorems
- Multiple Wiener integral
- The multiple stochastic integral
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
