An optimal approximation of Rosenblatt sheet by multiple Wiener integrals

DOI10.1007/s00009-017-0856-3zbMath1368.60058arXiv1505.03225OpenAlexW2963917957MaRDI QIDQ2362970

Guang Jun Shen, Qian Yu

Publication date: 12 July 2017

Published in: Mediterranean Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.03225

zbMATH Keywords

approximationRosenblatt sheetWiener integrals

Mathematics Subject Classification ID

Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Approximation of the Rosenblatt sheet
• On the distribution of the Rosenblatt process
• A strong convergence to the Rosenblatt process
• An approximation to the Rosenblatt process using martingale differences
• Regularization and integral representations of Hermite processes
• Hausdorff and packing dimensions of the images of random fields
• Variations and estimators for self-similarity parameters via Malliavin calculus
• Wavelet-based synthesis of the Rosenblatt process
• On extremal theory for self-similar processes
• Variations and Hurst index estimation for a Rosenblatt process using longer filters
• Weak convergence to Rosenblatt sheet
• Approximating the Rosenblatt process by multiple Wiener integrals
• Analysis of Variations for Self-similar Processes
• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields
• Long-Memory Processes
• Analysis of the Rosenblatt process
• Approximation of fractional Brownian motion by Wiener integrals
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem
• Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence