Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process

DOI10.1016/J.JMVA.2014.06.012zbMATH Open1298.60045arXiv1302.5890OpenAlexW2094362282MaRDI QIDQ406502FDOQ406502

Ciprian A. Tudor, Jean-Marc Bardet

Publication date: 8 September 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1302.5890

zbMATH Keywords

long-memory processWhittle estimator[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=multiple+Wiener-It%EF%BF%BD%EF%BF%BD+integrals&go=Go multiple Wiener-It�� integrals]non-central limit theoremRosenblatt process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cites Work

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Cited In (9)

• Maximum likelihood estimators of a long-memory process from discrete observations
• On multivariate fractional random fields: tempering and operator-stable laws
• On fractional Lévy processes: tempering, sample path properties and stochastic integration
• A new estimator of the self-similarity exponent through the empirical likelihood ratio test
• Quasi-maximum likelihood estimation of long-memory linear processes
• Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
• A stochastic calculus for Rosenblatt processes
• Two-step wavelet-based estimation for Gaussian mixed fractional processes
• Asymptotic theory for the detection of mixing in anomalous diffusion

Uses Software

• longmemo

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