Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders

DOI10.1016/J.SPA.2014.02.013MaRDI QIDQ402492zbMATH OpenOpenAlexFDO

Authors Ciprian A. Tudor, Marianne Clausel, François Roueff, Murad S. Taqqu

Publication date 28 August 2014

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1402.1710

zbMATH Keywords

long-range dependencequadratic variationWiener chaoscovariationself-similar processesHermite processes

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Abstract: Hermite processes are self--similar processes with stationary increments which appear as limits of normalized sums of random variables with long range dependence. The Hermite process of order $1$ is fractional Brownian motion and the Hermite process of order $2$ is the Rosenblatt process. We consider here the sum of two Hermite processes of order $qgeq1$ and $q+1$ and of different Hurst parameters. We then study its quadratic variations at different scales. This is akin to a wavelet decomposition. We study both the cases where the Hermite processes are dependent and where they are independent. In the dependent case, we show that the quadratic variation, suitably normalized, converges either to a normal or to a Rosenblatt distribution, whatever the order of the original Hermite processes.

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Cited in

(8)

• Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes
• Particle picture representation of the non-symmetric Rosenblatt process and Hermite processes of any order
• Behavior of the Hermite sheet with respect to the Hurst index
• Limiting behavior of large correlated Wishart matrices with chaotic entries
• PRICING DERIVATIVES IN HERMITE MARKETS
• An asymptotic expression for cumulative sum of probabilities of the hermite distribution
• Asymptotic behaviour for quadratic variations of non-Gaussian multiparameter Hermite random fields
• Two-step wavelet-based estimation for Gaussian mixed fractional processes

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