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math.PR2013★ 45 cited
Generalized Hermite processes, discrete chaos and limit theorems
Shuyang Bai, Murad S. Taqqu
We introduce a broad class of self-similar processes called generalized Hermite process. They have stationary increments, are defined on a Wiener chaos with Hurst…
math.PR2013
Multivariate limits of multilinear polynomial-form processes with long memory
Murad S. Taqqu, Shuyang Bai
We consider the multilinear polynomial-form process \[X(n)=\sum_{1\le i_1<\ldots<i_k<\infty}a_{i_1}\ldots a_{i_k}ε_{n-i_1}\ldotsε_{n-i_k},\] obtained by applying a multilinear poly…