Asymptotic behavior for quadratic variations of non-Gaussian multiparameter Hermite random fields

DOI10.19195/0208-4147.39.2.8zbMath1434.60080arXiv1611.03674OpenAlexW3010646696MaRDI QIDQ5109851

T. T. Diu Tran

Publication date: 13 May 2020

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.03674

zbMATH Keywords

limit theoremspower variationsself-similar stochastic processesHermite random fieldRosenblatt random field

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Self-similar stochastic processes (60G18)

Cites Work

• Functional limit theorems for generalized variations of the fractional Brownian sheet
• Selected aspects of fractional Brownian motion.
• Variations and estimators for self-similarity parameters via Malliavin calculus
• Milstein's type schemes for fractional SDEs
• Central limit theorems for non-linear functionals of Gaussian fields
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
• Analysis of Variations for Self-similar Processes
• HERMITE VARIATIONS OF THE FRACTIONAL BROWNIAN SHEET
• The Malliavin Calculus and Related Topics
• Convergence of Finite-Dimensional Laws of the Weighted Quadratic Variations Process for Some Fractional Brownian Sheets
• CLT and other limit theorems for functionals of Gaussian processes
• Convergence of integrated processes of arbitrary Hermite rank
• Non-central limit theorems for non-linear functional of Gaussian fields

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