Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
classification
🧮 math.ST
stat.TH
keywords
estimatorprocessrosenblattwhittleasymptoticbehaviorchaosestablish
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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.
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