Variations and Hurst index estimation for a Rosenblatt process using longer filters
DOI10.1214/09-EJS423zbMath1326.60046arXiv0912.3148MaRDI 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
parameter estimation; fractional Brownian motion; Malliavin calculus; self-similarity; Rosenblatt process; multiple Wiener integral; non-central limit theorem; quadratic variation
62F12: Asymptotic properties of parametric estimators
62E20: Asymptotic distribution theory in statistics
60F05: Central limit and other weak theorems
60G22: Fractional processes, including fractional Brownian motion
60H07: Stochastic calculus of variations and the Malliavin calculus
60G18: Self-similar stochastic processes
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