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

作者：Bardet Jean Marc; Tudor Ciprian^*

来源：Journal of Multivariate Analysis, 2014, 131: 1-16.

DOI：10.1016/j.jmva.2014.06.012

• Whittle estimator
• Rosenblatt process
• Long-memory process
• Non-central limit theorem
• Multiple Wiener-Ito integrals

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.

• 出版日期2014-10