Wiener chaos,; Rosenblatt process,; Wavelet series,; Random Series,; slow/ordinary/rapid points,; modulus of continuity
Abstract :
[en] We identify three types of pointwise behaviour in the regularity of the (generalized)
Rosenblatt process. This extends to a non Gaussian setting previous results known
for the (fractional) Brownian motion. On this purpose, fine bounds on the increments
of the Rosenblatt process are needed. Our analysis is essentially based on various
wavelet methods.
Disciplines :
Mathematics
Author, co-author :
DAW, Lara ; University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH)
LOOSVELDT, Laurent ; University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH)
External co-authors :
no
Language :
English
Title :
Wavelet methods to study the pointwise regularity of the generalized Rosenblatt process
Publication date :
November 2022
Journal title :
Electronic Journal of Probability
eISSN :
1083-6489
Publisher :
Institute of Mathematical Statistics, Beachwood, United States - Ohio
Volume :
27
Pages :
1-45
Peer reviewed :
Peer Reviewed verified by ORBi
FnR Project :
FNR12582675 - Approximation Of Gaussian Functionals, 2018 (01/09/2019-31/08/2022) - Ivan Nourdin
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