RESEARCH ARTICLE

Weak convergence to Rosenblatt sheet

  • Guangjun SHEN ,
  • Xiuwei YIN ,
  • Dongjin ZHU
Expand
  • Department of Mathematics, Anhui Normal University, Wuhu 241000, China

Received date: 12 Sep 2014

Accepted date: 05 Jan 2015

Published date: 05 Jun 2015

Copyright

2014 Higher Education Press and Springer-Verlag Berlin Heidelberg

Abstract

We study the problem of the approximation in law of the Rosenblatt sheet. We prove the convergence in law of two families of process to the Rosenblatt sheet: the first one is constructed from a Poisson process in the plane and the second one is based on random walks.

Cite this article

Guangjun SHEN , Xiuwei YIN , Dongjin ZHU . Weak convergence to Rosenblatt sheet[J]. Frontiers of Mathematics in China, 2015 , 10(4) : 985 -1004 . DOI: 10.1007/s11464-015-0458-y

1
Abry P, Pipiras V. Wavelet-based synthesis of the Rosenblatt process. Signal Process, 2006, 86: 2326-2339

DOI

2
Albin J M P. On extremal theory for self similar processes. Ann Probab, 1998, 26: 743-793

DOI

3
Bardina X, Florit C. Approximation in law to the d-parameter fractional Brownian sheet based on the functional invariance principle. Rev Mat Iberoam, 2005, 21: 1037-1052

DOI

4
Bardina X, Jolis M. Weak approximation of the Brownian sheet from the Poisson process in the plane. Bernoulli, 2000, 6(4): 653-665

DOI

5
Bardina X, Jolis M, Tudor C A. Weak convergence to the fractional Brownian sheet and other two-parameter Gaussian processes. Statist Probab Lett, 2003, 65: 317-329

DOI

6
Biagini F, Hu Y, Øksendal B, Zhang T. Stochastic Calculus for fBm and Applications. New York: Springer-Verlag, 2008

7
Bickel P, Wichura M. Convergence criteria for multiparamenter stochastic process and some applications. Ann Math Statist, 1971, 42: 1656-1670

DOI

8
Cairoli R, Walsh J. Stochastic integrals in the plane. Acta Math, 1975, 134: 111-183

DOI

9
Chen C, Sun L, Yan L. An approximation to the Rosenblatt process using martingale differences. Statist Probab Lett, 2012, 82: 748-757

DOI

10
Chronopoulou A, Tudor C, Viens F. Variations and Hurst index estimation for a Rosenblatt process using longer filters. Electron J Stat, 2009, 3: 1393-1435

DOI

11
Dai H. Convergence in law to operator fractional Brownian motions. J Theoret Probab, 2013, 26: 676-696

DOI

12
Dobrushin R L, Major P. Non-central limit theorems for non-linear functionals of Gaussian fields. Z Wahrschein-lichkeitstheor Verwandte Geb, 1979, 50: 27-52

DOI

13
Hall P, Hardle W, Kleinow T, Schmidt P. Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient. Stat Inference Stoch Process, 2000, 3: 263-276

DOI

14
Leonenko N N, Ahn V V. Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence. J Appl Math Stoch Anal, 2001, 14: 27-46

DOI

15
Leonenko N N, Woyczynski W. Scaling limits of solutions of the heat equation for singular non-Gaussian data. J Stat Phys, 1998, 91: 423-438

DOI

16
Li Y, Dai H. Approximations of fractional Brownian motion. Bernoulli, 2011, 17: 1195-1216

DOI

17
Maejima M, Tudor C A. Wiener integrals with respect to the Hermite process and a non central limit theorem. Stoch Anal Appl, 2007, 25: 1043-1056

DOI

18
Maejima M, Tudor C A. Selfsimilar processes with stationary increments in the second Wiener chaos. Probab Math Statist, 2012, 32: 167-186

19
Maejima M, Tudor C A. On the distribution of the Rosenblatt process. Statist Probab Lett, 2013, 83: 1490-1495

DOI

20
Mishura Y. Stochastic Calculus for Fractional Brownian Motion and Related Processes. Lecture Notes in Math, Vol 1929. Berlin: Springer, 2008

DOI

21
Pipiras V, Taqqu M S. Regularization and integral representations of Hermite processes. Statist Probab Lett, 2010, 80: 2014-2023

DOI

22
Shen G, Ren Y. Neutral stochastic partial differential equations with delay driven by Rosenblatt process in a Hilbert space. J Korean Statist Soc, 2014, 44: 123-133

DOI

23
Shieh N-R, Xiao Y. Hausdorff and packing dimensions of the images of random fields. Bernoulli, 2010, 16: 926-952

DOI

24
Sottinen T. Fractional Brownian motion, random walks and binary market models. Finance Stoch, 2001, 5: 343-355

DOI

25
Stroock D. Topics in Stochastic Differential Equations. Berlin: Springer-Verlag, 1982

26
Taqqu M. Weak convergence to the fractional Brownian motion and to the Rosenblatt process. Z Wahrschein-lichkeitstheor Verwandte Geb, 1975, 31: 287-302

DOI

27
Taqqu M. Convergence of integrated processes of arbitrary Hermite rank. Zwahrscheinlichkeitstheor Verwandte Geb, 1979, 50: 53-83

DOI

28
Torres S, Tudor C. Donsker type theorem for the Rosenblatt process and a binary market model. Stoch Anal Appl, 2009, 27: 555-573

DOI

29
Tudor C. Weak convergence to the fractional Brownian sheet in Besov spaces. Bull Braz Math Soc, 2003, 34: 389-400

DOI

30
Tudor C. Analysis of the Rosenblatt process. ESAIM Probab Stat, 2008, 12: 230-257

DOI

31
Tudor C. Analysis of Variations for Self-similar Processes. Berlin: Springer, 2013

DOI

32
Tudor C, Viens F. Variations and estimators for the selfsimilarity order through Malliavin calculus. Ann Probab, 2009, 37: 2093-2134

DOI

33
Wang Z, Yan L, Yu X. Weak approximation of the fractional Brownian sheet from random walks. Electron Commun Probab, 2013, 18: 1-13

DOI

34
Wang Z, Yan L, Yu X. Weak approximation of the fractional Brownian sheet using martingale differences. Statist Probab Lett, 2014, 92: 72-78

DOI

35
Wu W B. Unit root testing for functionals of linear processes. Econom Theory, 2005, 22: 1-14

Outlines

/