Non-central limit theorem for the cubic variation of a class of selfsimilar stochastic processes
نویسندگان
چکیده
By using multiple Wiener-Itô stochastic integrals, we study the cubic variation of a class of selfsimilar stochastic processes with stationary increments (the Rosenblatt process with selfsimilarity order H ∈ ( 12 , 1)). This study is motivated by statistical purposes. We prove that this renormalized cubic variation satis es a non-central limit theorem and its limit is (in the L(Ω) sense) still the Rosenblatt process. 2000 AMS Classi cation Numbers: 60G15, 60G35, 60H05, 94A05.
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