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Communications in Statistics - Theory and Methods Volume 50, 2021 - Issue 23
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Original Articles

Non symmetric Rosenblatt process over a compact

Héctor Arayaa Instituto de Estadística, Facultad de Ciencias, Universidad de Valparaíso, Valparaiso, ChileCorrespondence[email protected]
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,
Johanna Garzónb Departamento de Matemática, Universidad Nacional de Colombia, Bogota, ColombiaView further author information
&
Tania Roac CIMFAV, Facultad de Ingeniería, Universidad de Valparaíso, Valparaiso, ChileView further author information
Pages 5517-5529 | Received 24 Sep 2019, Accepted 11 Feb 2020, Published online: 09 Mar 2020
 
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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.

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Funding

Héctor Araya was partially supported by MATH-AmSud 18-MATH-07 SaSMoTiDep Project and Proyecto Fondecyt Post-Doctorado, Chile 3190465. Johanna Garzón is partially supported by MATH-AmSud 18-MATH-07 SaSMoTiDep Project and HERMES project 41305. Tania Roa was partially supported by Beca CONICYT-PFCHA/Doctorado Nacional/2018-21180298. Fondo de Fomento al Desarrollo Científico y Tecnológico

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