Noncentral Limit Theorem for the Cubic Variation of a Class of Self-Similar Stochastic Processes

DOI10.1137/S0040585X97984978zbMath1246.60059OpenAlexW1994814690MaRDI QIDQ2882285

Ciprian A. Tudor, Khalifa Es-Sebaiy

Publication date: 4 May 2012

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0040585x97984978

zbMATH Keywords

fractional Brownian motionMalliavin calculusRosenblatt processself-similar processesmultiple stochastic integralsnoncentral limit Theorem

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18) (L^p)-limit theorems (60F25)

Related Items (3)

p^th Moment stability of fractional stochastic differential inclusions via resolvent operators driven by the Rosenblatt process and poisson jumps with impulses ⋮ Variations and Hurst index estimation for a Rosenblatt process using longer filters ⋮ Variations and estimators for self-similarity parameter of sub-fractional Brownian motion via Malliavin calculus

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