Non symmetric Rosenblatt process over a compact. Issue 23 (2nd December 2021)

• Record Type: Journal Article
• Authors: Araya, Héctor; Garzón, Johanna; Roa, Tania
• Is Part Of: Communications in statistics. Volume 50:Issue 23(2021)
• Page Start: 5517
• Page End: 5529
• Publication Date: 2021-12-02
• Subjects: Least square estimation -- non symmetric Rosenblatt process -- self-similarity -- Wiener chaos; 60G18 -- 60G12 -- 62M86; Mathematical statistics -- Periodicals; Mathematics; Statistics; 519.2
• DOI: 10.1080/03610926.2020.1734830
• Languages: English
• ISSNs: 0361-0926

Abstract

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.