From intersection local time to the Rosenblatt process
arXiv:1307.6159 · doi:10.1007/s10959-013-0535-7
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.