Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145519 | Journal of Multivariate Analysis | 2014 | 16 Pages |
Abstract
The purpose of this paper is the estimation of 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Jean-Marc Bardet, Ciprian Tudor,