Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence

Rate of convergence to the Rosenblatt distribution for additive functionals of stochastic processes with long-range dependence

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Article ID: iaor20022054
Country: United States
Volume: 14
Issue: 1
Start Page Number: 27
End Page Number: 46
Publication Date: Jan 2001
Journal: Journal of Applied Mathematics and Stochastic Analysis
Authors: ,
Keywords: probability, stochastic processes
Abstract:

This paper establishes the rate of convergence (in the uniform Kolmogorov distance) for normalized additive functionals of stochastic processes with long-range dependence to a limiting Rosenblatt distribution.

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