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Generalized Hermite processes, discrete chaos and limit theorems

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  • Bai, Shuyang
  • Taqqu, Murad S.

Abstract

We introduce a broad class of self-similar processes {Z(t),t≥0} called generalized Hermite processes. They have stationary increments, are defined on a Wiener chaos with Hurst index H∈(1/2,1), and include Hermite processes as a special case. They are defined through a homogeneous kernel g, called the “generalized Hermite kernel”, which replaces the product of power functions in the definition of Hermite processes. The generalized Hermite kernels g can also be used to generate long-range dependent stationary sequences forming a discrete chaos process {X(n)}. In addition, we consider a fractionally-filtered version Zβ(t) of Z(t), which allows H∈(0,1/2). Corresponding non-central limit theorems are established. We also give a multivariate limit theorem which mixes central and non-central limit theorems.

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  • Bai, Shuyang & Taqqu, Murad S., 2014. "Generalized Hermite processes, discrete chaos and limit theorems," Stochastic Processes and their Applications, Elsevier, vol. 124(4), pages 1710-1739.
    • Handle: RePEc:eee:spapps:v:124:y:2014:i:4:p:1710-1739
    DOI: 10.1016/j.spa.2013.12.011
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    References listed on IDEAS

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    1. Bai, Shuyang & Taqqu, Murad S., 2013. "Multivariate limits of multilinear polynomial-form processes with long memory," Statistics & Probability Letters, Elsevier, vol. 83(11), pages 2473-2485.
    2. Maejima, Makoto & Tudor, Ciprian A., 2013. "On the distribution of the Rosenblatt process," Statistics & Probability Letters, Elsevier, vol. 83(6), pages 1490-1495.
    3. Herold Dehling & Aeneas Rooch & Murad S. Taqqu, 2013. "Non-Parametric Change-Point Tests for Long-Range Dependent Data," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(1), pages 153-173, March.
    4. Pipiras, Vladas & Taqqu, Murad S., 2010. "Regularization and integral representations of Hermite processes," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 2014-2023, December.
    5. Bardet, J.-M. & Tudor, C.A., 2010. "A wavelet analysis of the Rosenblatt process: Chaos expansion and estimation of the self-similarity parameter," Stochastic Processes and their Applications, Elsevier, vol. 120(12), pages 2331-2362, December.
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    Cited by:

    1. Bai, Shuyang & Taqqu, Murad S., 2014. "Structure of the third moment of the generalized Rosenblatt distribution," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 144-152.
    2. Bender, Christian & Parczewski, Peter, 2018. "Discretizing Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 128(8), pages 2489-2537.
    3. Bai, Shuyang & Taqqu, Murad S. & Zhang, Ting, 2016. "A unified approach to self-normalized block sampling," Stochastic Processes and their Applications, Elsevier, vol. 126(8), pages 2465-2493.
    4. Bai, Shuyang & Taqqu, Murad S., 2015. "Convergence of long-memory discrete kth order Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 125(5), pages 2026-2053.
    5. Héctor Araya & Soledad Torres & Ciprian A. Tudor, 2024. "Least squares estimation for the Ornstein–Uhlenbeck process with small Hermite noise," Statistical Papers, Springer, vol. 65(7), pages 4745-4766, September.
    6. Pilipauskaitė, Vytautė & Surgailis, Donatas, 2017. "Scaling transition for nonlinear random fields with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2751-2779.
    7. Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2019. "Pricing Derivatives In Hermite Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-27, September.
    8. Ayache, Antoine, 2020. "Lower bound for local oscillations of Hermite processes," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 4593-4607.
    9. Bai, Shuyang & Owada, Takashi & Wang, Yizao, 2020. "A functional non-central limit theorem for multiple-stable processes with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 130(9), pages 5768-5801.

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