Article ISI
STOCHASTIC PROCESSES AND THEIR APPLICATIONS  (2019)

Behavior of the Hermite sheet with respect to the Hurst index

Araya, H; Tudor, CA

Keywords: self-similarity, fractional brownian motion, rosenblatt process, multiple stochastic integrals, Cumulants, Hermite process, Wiener chaos, Multiparameter stochastic processes

Abstract

We consider a d-parameter Hermite process with Hurst index H = (H-1, . . , H-d) is an element of (1/2, 1)(d) and we study its limit behavior in distribution when the Hurst parameters H-i, i = 1, . . , d (or a part of them) converge to 1/2 and/or 1. The limit obtained is Gaussian (when at least one parameter tends to 1/2) and non-Gaussian (when at least one-parameter tends to 1 and none converges to 1/2). (C) 2018 Elsevier B.V. All rights reserved.

Más información

Título según WOS: Behavior of the Hermite sheet with respect to the Hurst index
Título de la Revista: STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Volumen: 129
Número: 7
Editorial: Elsevier
Fecha de publicación: 2019
Página de inicio: 2582
Página final: 2605
Idioma: English
DOI:

10.1016/j.spa.2018.07.017
Notas: ISI