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Non symmetric Rosenblatt process over a compact

Author

Listed:
  • Héctor Araya
  • Johanna Garzón
  • Tania Roa

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.

Suggested Citation

  • Héctor Araya & Johanna Garzón & Tania Roa, 2021. "Non symmetric Rosenblatt process over a compact," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 50(23), pages 5517-5529, December.
    • Handle: RePEc:taf:lstaxx:v:50:y:2021:i:23:p:5517-5529
    DOI: 10.1080/03610926.2020.1734830
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