A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
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Publication:608212
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
parameter estimation; fractional Brownian motion; self-similarity; wavelet analysis; Rosenblatt process; noncentral limit theorem; multiple Wiener-Itô integral
62F12: Asymptotic properties of parametric estimators
60F05: Central limit and other weak theorems
60H05: Stochastic integrals
60G18: Self-similar stochastic processes
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