From intersection local time to the Rosenblatt process
Probability
2019-06-26 v2
Abstract
The Rosenblatt process was obtained by Taqqu (1975) from convergence in distribution of partial sums of strongly dependent random variables. In this paper we give a particle picture approach to the Rosenblatt process with the help of intersection local time and white noise analysis, and discuss measuring its long range dependence by means of a number called dependence exponent.
Cite
@article{arxiv.1307.6159,
title = {From intersection local time to the Rosenblatt process},
author = {Tomasz Bojdecki and Luis G. Gorostiza and Anna Talarczyk},
journal= {arXiv preprint arXiv:1307.6159},
year = {2019}
}