Non symmetric Rosenblatt process over a compact

Héctor Araya; Johanna Garzón; Tania Roa

doi:10.1080/03610926.2020.1734830

Non symmetric Rosenblatt process over a compact

Héctor Araya
, Johanna Garzón
, Tania Roa

Research output: Contribution to journal › Article › peer-review

Abstract

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 language	English
Pages (from-to)	5517-5529
Number of pages	13
Journal	Communications in Statistics - Theory and Methods
Volume	50
Issue number	23
DOIs	https://doi.org/10.1080/03610926.2020.1734830
State	Published - 2021
Externally published	Yes

Keywords

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

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10.1080/03610926.2020.1734830

Cite this

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abstract = "In this short note, we give the representation of the non symmetric Rosenblatt process as a Wiener–It{\^o} 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.",

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AU - Araya, Héctor

AU - Garzón, Johanna

AU - Roa, Tania

PY - 2021

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AB - 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.

KW - 60G12

KW - 60G18

KW - 62M86

KW - Least square estimation

KW - Wiener chaos

KW - non symmetric Rosenblatt process

KW - self-similarity

UR - https://www.scopus.com/pages/publications/85081305504

U2 - 10.1080/03610926.2020.1734830

DO - 10.1080/03610926.2020.1734830

M3 - Article

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VL - 50

SP - 5517

EP - 5529

JO - Communications in Statistics - Theory and Methods

JF - Communications in Statistics - Theory and Methods

IS - 23

ER -

Non symmetric Rosenblatt process over a compact

Abstract

Keywords

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