Bardet, Jean-Marc; Tudor, Ciprian - In: Journal of Multivariate Analysis 131 (2014) C, pp. 1-16
The purpose of this paper is the estimation of the self-similarity index of the Rosenblatt process by using the Whittle estimator. Via chaos expansion into multiple stochastic integrals, we establish a non-central limit theorem satisfied by this estimator. We illustrate our results by numerical...