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

zbMATH Keywords

parameter estimation; fractional Brownian motion; Malliavin calculus; self-similarity; Rosenblatt process; multiple Wiener integral; non-central limit theorem; quadratic variation

Mathematics Subject Classification ID

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

Related Items

Approximation of the Rosenblatt process by semimartingales, Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus, Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion, Asymptotic normality for a modified quadratic variation of the Hermite process, Approximation of the Rosenblatt sheet, An approximation to the Rosenblatt process using martingale differences, Statistical estimation of Lévy-type stochastic volatility models, A weak convergence to Hermite process by martingale differences, Wiener integrals with respect to the Hermite random field and applications to the wave equation, A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter, On limit theory for Lévy semi-stationary processes, Estimating self-similarity through complex variations, Power variations for fractional type infinitely divisible random fields, A stochastic calculus for Rosenblatt processes, Statistical inference for Vasicek-type model driven by Hermite processes, Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus, Donsker type theorem for fractional Poisson process, Weak convergence to Rosenblatt sheet, An optimal approximation of Rosenblatt sheet by multiple Wiener integrals, The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications

Uses Software

• longmemo

Cites Work

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