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Regularization and integral representations of Hermite processes · Study

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ArticleRegularization and integral representations of Hermite processes

Vladas Pipiras2010

Article2010

Regularization and integral representations of Hermite processes

Vladas Pipiras · Murad S. Taqqu

65 citations·0/0 files stored·Statistics & Probability Letters

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Stochastic processes and financial applications Complex Systems and Time Series Analysis Random Matrices and Applications

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References

2006The Malliavin Calculus and Related Topics 2008Stochastic Calculus for Fractional Brownian Motion and Applications 2003Theory and applications of long-range dependence 2008Stochastic Calculus for Fractional Brownian Motion and Related Processes 1975Weak convergence to fractional brownian motion and to the rosenblatt process 1979Convergence of integrated processes of arbitrary Hermite rank 2008Analysis of the Rosenblatt process 2010Central and non-central limit theorems for weighted power variations of fractional Brownian motion

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2014Generalized Hermite processes, discrete chaos and limit theorems 2013Benoît Mandelbrot and Fractional Brownian Motion 2017Power of change-point tests for long-range dependent data

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Year2010

Typearticle

Published2010-09-20

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations65

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spl.2010.09.008

openalex_workW2074873680

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