On stationarity properties of generalized Hermite-type processes
Probability
2020-10-06 v2
Abstract
The paper investigates properties of generalized Hermite-type processes that arise in non-central limit theorems for integral functionals of long-range dependent random fields. The case of increasing multidimensional domain asymptotics is studied. Three approaches to investigate properties of these processes are discussed. Contrary to the classical one-dimensional case, it is shown that for any choice of a multidimensional observation window the generalized Hermite-type process has non-stationary increments.
Keywords
Cite
@article{arxiv.2004.14713,
title = {On stationarity properties of generalized Hermite-type processes},
author = {Illia Donhauzer and Andriy Olenko},
journal= {arXiv preprint arXiv:2004.14713},
year = {2020}
}
Comments
15 pages, 2 figures