A Weak Convergence to Hermite Process by Martingale Differences

Xichao Sun and Ronglong Cheng

Advances in Mathematical Physics, 2014, vol. 2014, issue 1

Abstract: We consider the weak convergence to general Hermite process ZH,k of order k with index H. By applying martingale differences we construct a sequence {ZH, kn , n=1,2,…} of multiple Wiener‐Itô stochastic integrals such that it converges in distribution to the Hermite process ZH,k.

Date: 2014
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https://doi.org/10.1155/2014/307819

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnlamp:v:2014:y:2014:i:1:n:307819

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