Non symmetric Rosenblatt process over a compact

Héctor Araya, Johanna Garzón, Tania Roa

Research output: Contribution to journalArticlepeer-review


In this short note, we give the representation of the non symmetric Rosenblatt process as a Wiener–Itô multiple integral with respect to the Brownian motion on a finite interval. Based on this representation, we obtain a least square-type estimator for an unknown parameter of the drift coefficient of a simple model driven by the non symmetric Rosenblatt process.

Original languageEnglish
Pages (from-to)5517-5529
Number of pages13
JournalCommunications in Statistics - Theory and Methods
Issue number23
StatePublished - 2021
Externally publishedYes


  • 60G12
  • 60G18
  • 62M86
  • Least square estimation
  • Wiener chaos
  • non symmetric Rosenblatt process
  • self-similarity


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