Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
نویسندگان
چکیده
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. 2000 AMS Classification Numbers: Primary: 60G18; Secondary 60F05, 60H05, 62F12.
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ورودعنوان ژورنال:
- J. Multivariate Analysis
دوره 131 شماره
صفحات -
تاریخ انتشار 2014