Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
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Publication:406502
Abstract: The purpose of this paper is to estimate the self-similarity index of the Rosenblatt process by using the Whittle estimator. Via chaos expansion into multiple stochastic integrals, we establish a non-central limit theorem satisfied by this estimator. We illustrate our results by numerical simulations.
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Cited in
(11)- Maximum likelihood estimators of a long-memory process from discrete observations
- A new estimator of the self-similarity exponent through the empirical likelihood ratio test
- Asymptotic theory for the detection of mixing in anomalous diffusion
- On fractional Lévy processes: tempering, sample path properties and stochastic integration
- On multivariate fractional random fields: tempering and operator-stable laws
- A stochastic calculus for Rosenblatt processes
- Variations and Hurst index estimation for a Rosenblatt process using longer filters
- A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
- Two-step wavelet-based estimation for Gaussian mixed fractional processes
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- Quasi-maximum likelihood estimation of long-memory linear processes
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