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

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.

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Year of publication:	2014
Authors:	Bardet, Jean-Marc ; Tudor, Ciprian
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 131.2014, C, p. 1-16
Publisher:	Elsevier
Subject:	Whittle estimator \| Rosenblatt process \| Long-memory process \| Non-central limit theorem \| Multiple Wiener–Itô integrals

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

Persistent link: https://www.econbiz.de/10010930752