Variations and estimators for self-similarity parameters via Malliavin calculus
Variations and estimators for self-similarity parameters via Malliavin calculus
Using multiple stochastic integrals and the Malliavin calculus, we analyze the asymptotic behavior of quadratic variations for a specific non-Gaussian self-similar process, the Rosenblatt process. We apply our results to the design of strongly consistent statistical estimators for the self-similarity parameter H. Although, in the case of the Rosenblatt process, …