On stationarity properties of generalized Hermite-type processes

DOI10.1080/17442508.2020.1844709MaRDI QIDQ5086720zbMATH OpenOpenAlexFDO

Authors Illia Donhauzer, Andriy Olenko

Publication date 7 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2004.14713

zbMATH Keywords

geometric probabilityHermite-type processesincrementsnon-central limit theoremself-similarstationary

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Self-similar stochastic processes (60G18) Random fields (60G60)

Abstract: The paper investigates properties of generalized Hermite-type processes that arise in non-central limit theorems for integral functionals of long-range dependent random fields. The case of increasing multidimensional domain asymptotics is studied. Three approaches to investigate properties of these processes are discussed. Contrary to the classical one-dimensional case, it is shown that for any choice of a multidimensional observation window the generalized Hermite-type process has non-stationary increments.

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Cited in

(11)

• Noncentral limit theorem for the generalized Hermite process
• Limit theorems for integral functionals of Hermite-driven processes
• Statistical inference for Vasicek-type model driven by Hermite processes
• On rate of convergence in non-central limit theorems
• Generalized continuous time random walks and Hermite processes
• Generalized Hermite processes, discrete chaos and limit theorems
• Some nonparametric asymptotic results for a class of stochastic processes
• Non-central limit theorems for quadratic functionals of Hermite-driven long memory moving average processes
• On asymptotic properties of nonlinear functionals of random fields. (Abstract of thesis)
• Representations of Hermite processes using local time of intersecting stationary stable regenerative sets
• Construction and limit theorems for supCAR fields

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