From intersection local time to the Rosenblatt process

Tomasz Bojdecki (), Luis G. Gorostiza () and Anna Talarczyk ()
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Tomasz Bojdecki: University of Warsaw
Luis G. Gorostiza: Centro de Investigacion y de Estudios Avanzados
Anna Talarczyk: University of Warsaw

Journal of Theoretical Probability, 2015, vol. 28, issue 3, 1227-1249

Abstract: Abstract The Rosenblatt process was obtained by Taqqu (Z. Wahr. Verw. Geb. 31:287–302, 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.

Keywords: Rosenblatt process; Long-range dependence; Intersection local time; Particle system; Primary 60G18; Secondary 60F17 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s10959-013-0535-7

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