Noncentral limit theorem for the cubic variation of a class of self-similar stochastic processes

DOI10.1137/S0040585X97984978zbMATH Open1246.60059OpenAlexW1994814690MaRDI QIDQ2882285FDOQ2882285

Authors: K. Es-Sebaiy, Ciprian A. Tudor 

Publication date: 4 May 2012

Published in: Theory of Probability and its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97984978

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zbMATH Keywords

Malliavin calculusfractional Brownian motionmultiple stochastic integralsself-similar processesRosenblatt processnoncentral limit Theorem

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) (L^p)-limit theorems (60F25) Self-similar stochastic processes (60G18)

Cited In (6)

• Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus
• \(p\)th moment stability of fractional stochastic differential inclusions via resolvent operators driven by the Rosenblatt process and Poisson jumps with impulses
• Decomposition and limit theorems for a class of self-similar Gaussian processes
• Analysis of the rosenblatt process
• Limit behavior in high-dimensional regime for Wishart tensors with Rosenblatt entries
• Variations and Hurst index estimation for a Rosenblatt process using longer filters

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