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arXiv · 1307.6159

From intersection local time to the Rosenblatt process

Tomasz Bojdecki·Luis G. Gorostiza·Anna Talarczyk
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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.

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Tomasz Bojdecki, Luis G. Gorostiza, Anna Talarczyk. 2013-07-23. From intersection local time to the Rosenblatt process. https://doi.org/10.1007/s10959-013-0535-7

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