Title :

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

Author(s) :

Bardet, Jean-Marc [Auteur]
Statistique, Analyse et Modélisation Multidisciplinaire (SAmos-Marin Mersenne) [SAMM]
Tudor, Ciprian A. [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]

Journal title :

Journal of Multivariate Analysis

Pages :

1-16

Publisher :

Elsevier

Publication date :

2014

ISSN :

0047-259X

English keyword(s) :

Malliavin calculus
Whittle estimator
Rosenblatt process
long-memory process
non-central limit theorem
Malliavin calculus.

HAL domain(s) :

Mathématiques [math]/Statistiques [math.ST]
Statistiques [stat]/Théorie [stat.TH]

English abstract : [en]

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 ...
Show more >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.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL