Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence.
Leonenko, N.N., Anh, V.V. (2001)
Journal of Applied Mathematics and Stochastic Analysis
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Leonenko, N.N., Anh, V.V. (2001)
Journal of Applied Mathematics and Stochastic Analysis
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Iribarren, Ileana, León, José R. (2006)
Journal of Applied Mathematics and Stochastic Analysis
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Jaroslav Mohapl (1999)
Mathematica Slovaca
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Hermine Biermé, Frédéric Richard (2008)
ESAIM: Probability and Statistics
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We estimate the anisotropic index of an anisotropic fractional brownian field. For all directions, we give a convergent estimator of the value of the anisotropic index in this direction, based on generalized quadratic variations. We also prove a central limit theorem. First we present a result of identification that relies on the asymptotic behavior of the spectral density of a process. Then, we define Radon transforms of the anisotropic fractional brownian field and prove that these...
Jan Hurt (1973)
Aplikace matematiky
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