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Activity Number:
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527
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Type:
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Contributed
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Date/Time:
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Wednesday, August 5, 2009 : 2:00 PM to 3:50 PM
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Sponsor:
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IMS
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| Abstract - #305119 |
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Title:
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Memory-Length Parameter Estimation for the Rosenblatt Process Using Longer Filters
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Author(s):
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Alexandra Chronopoulou*+
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Companies:
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Purdue University
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Address:
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213 N 11th St, Lafayette, IN, 47901,
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Keywords:
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long-memory parameter ; self-similarity index ; Rosenblatt process
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Abstract:
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We construct a class of consistent estimators for the self-similarity/memory-length parameter (H) of the Rosenblatt process. The estimators are based on the variations of the filtered process with filters of various orders. Using Malliavin calculus techniques, we prove that these variations converge in L^2(Omega) to a Rosenblatt random variable, which is an element of the second Wiener chaos. Moreover, we study the behavior of the asymptotic variance of the proposed estimators with respect to the choice of length of the filter and the desired accuracy. This is joint work with Frederi Viens and Ciprian Tudor.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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