Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
Let (Z(q,H) t) t∈[0,1] be a Hermite processes of order q and with Hurst parameter H ∈ ( 1 2 , 1).This process is H-self-similar, it has stationary increments and it exhibits long-range dependence.This class contains the fractional Brownian motion (for q = 1) and the Rosenblatt process (for q …