Variations and estimators for self-similarity parameters via Malliavin calculus

DOI10.1214/09-AOP459zbMath1196.60036arXiv0709.3896MaRDI QIDQ971934

Publication date: 17 May 2010

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0709.3896

zbMATH Keywords

Malliavin calculus; Rosenblatt process; Hermite process; noncentral limit theorem

Mathematics Subject Classification ID

60F05: Central limit and other weak theorems

60H07: Stochastic calculus of variations and the Malliavin calculus

60G18: Self-similar stochastic processes

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Uses Software

longmemo

Cites Work