A wavelet analysis of the Rosenblatt process: Chaos expansion and estimation of the self-similarity parameter
نویسندگان
چکیده
منابع مشابه
A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter
The purpose of this paper is to make a wavelet analysis of self-similar stochastic processes by using the techniques of the Malliavin calculus and the chaos expansion into multiple stochastic integrals. Our examples are the fractional Brownian motion and the Rosenblatt process. We study the asymptotic behavior of the statistics based on the wavelet coefficients of these processes. We find that,...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2010
ISSN: 0304-4149
DOI: 10.1016/j.spa.2010.08.003