Title of article
Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
Author/Authors
Bardet، نويسنده , , Jean-Marc and Tudor، نويسنده , , Ciprian، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2014
Pages
16
From page
1
To page
16
Abstract
The purpose of this paper is the estimation of 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.
Keywords
Whittle estimator , Rosenblatt process , Non-central limit theorem , Long-memory process , Multiple Wiener–Itô integrals
Journal title
Journal of Multivariate Analysis
Serial Year
2014
Journal title
Journal of Multivariate Analysis
Record number
1566821
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