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

DOI10.1016/j.jmva.2014.06.012zbMath1298.60045arXiv1302.5890OpenAlexW2094362282MaRDI QIDQ406502

Jean-Marc Bardet, Ciprian A. Tudor

Publication date: 8 September 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.5890

zbMATH Keywords

Rosenblatt processlong-memory processnon-central limit theoremmultiple Wiener-Itô integralsWhittle estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Related Items (8)

A new estimator of the self-similarity exponent through the empirical likelihood ratio test ⋮ A stochastic calculus for Rosenblatt processes ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ On multivariate fractional random fields: tempering and operator-stable laws ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ On fractional Lévy processes: tempering, sample path properties and stochastic integration ⋮ Two-step wavelet-based estimation for Gaussian mixed fractional processes ⋮ Asymptotic theory for the detection of mixing in anomalous diffusion

Uses Software

• longmemo

Cites Work

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• Analysis of the Rosenblatt process

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