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Non symmetric Rosenblatt process over a compact.
- Source :
-
Communications in Statistics: Theory & Methods . 2021, Vol. 50 Issue 23, p5517-5529. 13p. - Publication Year :
- 2021
-
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. [ABSTRACT FROM AUTHOR]
- Subjects :
- *WIENER processes
*BROWNIAN motion
*LEAST squares
Subjects
Details
- Language :
- English
- ISSN :
- 03610926
- Volume :
- 50
- Issue :
- 23
- Database :
- Academic Search Index
- Journal :
- Communications in Statistics: Theory & Methods
- Publication Type :
- Academic Journal
- Accession number :
- 152933482
- Full Text :
- https://doi.org/10.1080/03610926.2020.1734830