An approximation to the Rosenblatt process using martingale differences

DOI10.1016/j.spl.2011.12.006zbMath1244.60041OpenAlexW2032774605MaRDI QIDQ434711

Litan Yan, Liya Sun, Chao Chen

Publication date: 16 July 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.12.006

zbMATH Keywords

weak convergencemartingale differencesRosenblatt process

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Related Items (7)

An optimal approximation of Rosenblatt sheet by multiple Wiener integrals ⋮ Approximation of the Rosenblatt sheet ⋮ Stochastic heat equation and martingale differences ⋮ An Approximation of Subfractional Brownian Motion ⋮ An approximation to the subfractional Brownian sheet using martingale differences ⋮ Approximation of the Rosenblatt process by semimartingales ⋮ Weak convergence to Rosenblatt sheet

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