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Journal Articles Journal of Multivariate Analysis Year : 2014

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

Abstract

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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hal-00793904 , version 1 (23-02-2013)

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Jean-Marc Bardet, Ciprian A. Tudor. Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process. Journal of Multivariate Analysis, 2014, 131, pp.1-16. ⟨10.1016/j.jmva.2014.06.012⟩. ⟨hal-00793904⟩
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