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Non-Gaussian Self-similar Processes

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Book cover Analysis of Variations for Self-similar Processes

Part of the book series: Probability and Its Applications ((PIA))

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Abstract

Chapter 3 is consecrated to the study of the Hermite processes. The Hermite processes are self-similar processes with stationary increments. They appear as limits in the so called Non-Central Limit Theorem. This class includes the fractional Brownian motion but all the other processes in the class of Hermite processes are non-Gaussian. Another interesting example in this class is the Rosenblatt process, which is discussed is details, together with its variants, in this part of the monograph.

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Authors and Affiliations

  1. UFR Mathématiques, Université de Lille 1, Villeneuve d’Ascq, France

    Ciprian A. Tudor

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  1. Ciprian A. Tudor
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Tudor, C.A. (2013). Non-Gaussian Self-similar Processes. In: Analysis of Variations for Self-similar Processes. Probability and Its Applications. Springer, Cham. https://doi.org/10.1007/978-3-319-00936-0_3

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