A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter

DOI10.1016/j.spa.2010.08.003zbMath1203.60043arXiv0811.2664WikidataQ105583763 ScholiaQ105583763MaRDI QIDQ608212

Ciprian A. Tudor, Jean-Marc Bardet

Publication date: 25 November 2010

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

Full work available at URL: https://arxiv.org/abs/0811.2664

zbMATH Keywords

parameter estimation; fractional Brownian motion; self-similarity; wavelet analysis; Rosenblatt process; noncentral limit theorem; multiple Wiener-Itô integral

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

60F05: Central limit and other weak theorems

60H05: Stochastic integrals

60G18: Self-similar stochastic processes

Related Items

Estimation of the long memory parameter in stochastic volatility models by quadratic variations, Unnamed Item, Approximation of the Rosenblatt process by semimartingales, Wavelet analysis for the solution to the wave equation with fractional noise in time and white noise in space, Existence results for some stochastic functional integrodifferential systems driven by Rosenblatt process, OPTIMAL CONTROLS FOR SOME IMPLUSIVE STOCHASTIC INTEGRODIFFERENTIAL EQUATIONS DRIVEN BY ROSENBLATT PROCESS E. KPIZIM, K. EZZINBI, V. VINODKUMAR AND M. A. DIOP, Fractal dimensions of the Rosenblatt process, Asymptotic normality for a modified quadratic variation of the Hermite process, Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the Hurst parameter, On a class of self-similar processes with stationary increments in higher order Wiener chaoses, Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process, Large scale behavior of wavelet coefficients of non-linear subordinated processes with long memory, A weak convergence to Hermite process by martingale differences, Wiener integrals with respect to the Hermite random field and applications to the wave equation, The tenth Vilnius conference on probability theory and mathematical statistics. II, Wavelet-type expansion of the generalized Rosenblatt process and its rate of convergence, A white noise approach to stochastic integration with respect to the Rosenblatt process, Global attracting sets and stability of neutral stochastic functional differential equations driven by Rosenblatt process, Estimating self-similarity through complex variations, Wavelet methods to study the pointwise regularity of the generalized Rosenblatt process, A stochastic calculus for Rosenblatt processes, Exponential behavior of neutral impulsive stochastic integro-differential equations driven by Poisson jumps and Rosenblatt process, Lower bound for local oscillations of Hermite processes, Parameter identification for the Hermite Ornstein-Uhlenbeck process, Large scale reduction principle and application to hypothesis testing, Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood, Two-step wavelet-based estimation for Gaussian mixed fractional processes, Convergence in \(L_{p}([0, T)\) of wavelet expansions of \(\varphi\)-sub-Gaussian random processes], Generalized Hermite processes, discrete chaos and limit theorems, The laws of large numbers associated with the linear self-attracting diffusion driven by fractional Brownian motion and applications

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Efficient parameter estimation for self-similar processes
• Variations and estimators for self-similarity parameters via Malliavin calculus
• Adaptive wavelet-based estimator of the memory parameter for stationary Gaussian processes
• Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses
• Wavelet-based synthesis of the Rosenblatt process
• Central limit theorems for non-linear functionals of Gaussian fields
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Multiple stochastic integrals with dependent integrators
• A representation for self-similar processes
• Whittle estimator for finite-variance non-Gaussian time series with long memory
• Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
• Gaussian semiparametric estimation of long range dependence
• Variations and Hurst index estimation for a Rosenblatt process using longer filters
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Central limit theorems for sequences of multiple stochastic integrals
• A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
• Asymptotic normality of wavelet estimators of the memory parameter for linear processes
• A Non-Parametric Estimator of the Spectral Density of a Continuous-Time Gaussian Process Observed at Random Times
• The Malliavin Calculus and Related Topics
• CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
• Donsker Type Theorem for the Rosenblatt Process and a Binary Market Model
• Wavelet analysis and synthesis of fractional Brownian motion
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Non-central limit theorems for non-linear functional of Gaussian fields
• Statistical study of the wavelet analysis of fractional Brownian motion
• Analysis of the Rosenblatt process
• Wavelet estimator of long-range dependent processes.