An approximation to the Rosenblatt process using martingale differences

In this paper we give an approximation theorem for Rosenblatt processes with H>1/2, using martingale differences.

Year of publication:	2012
Authors:	Chen, Chao ; Sun, Liya ; Yan, Litan
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 4, p. 748-757
Publisher:	Elsevier
Subject:	Rosenblatt process \| Martingale differences \| Weak convergence

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010571780