arXiv Open Access 2013

Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process

Jean-Marc Bardet Ciprian A. Tudor

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Abstrak

The purpose of this paper is to estimate 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.

Topik & Kata Kunci

math.ST

Penulis (2)

Jean-Marc Bardet

Ciprian A. Tudor

Format Sitasi

APA MLA BibTeX

Bardet, J., Tudor, C.A. (2013). Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process. https://arxiv.org/abs/1302.5890

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Informasi Jurnal

Tahun Terbit: 2013
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓