On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion (Q899656): Difference between revisions

@@ Property / author @@
-Kęstutis Kubilius
@@ Property / author: Kęstutis Kubilius / rank @@
-Normal rank
@@ Property / author @@
+Kęstutis Kubilius
@@ Property / author: Kęstutis Kubilius / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2963261809
@@ Property / OpenAlex ID: W2963261809 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.07180
@@ Property / arXiv ID: 1507.07180 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic expansion and central limit theorem for quadratic variations of Gaussian processes
+Normal rank
@@ Property / cites work @@
+Identification of filtered white noises
@@ Property / cites work: Identification of filtered white noises / rank @@
+Normal rank
@@ Property / cites work @@
+Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Estimation in models driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
+Normal rank
@@ Property / cites work @@
+Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Concrete Functional Calculus
@@ Property / cites work: Concrete Functional Calculus / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic variations and estimation of the local Hölder index of a Gaussian process
+Normal rank
@@ Property / cites work @@
+Q4798624
@@ Property / cites work: Q4798624 / rank @@
+Normal rank
@@ Property / cites work @@
+Quadratic variations and estimation of the Hurst index of the solution of SDE driven by a fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Q4917421
@@ Property / cites work: Q4917421 / rank @@
+Normal rank
@@ Property / cites work @@
+The rate of convergence of Hurst index estimate for the stochastic differential equation
+Normal rank
@@ Property / cites work @@
+Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift
+Normal rank
@@ Property / cites work @@
+Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
+Normal rank
@@ Property / cites work @@
+Differential equations driven by rough paths. Ecole d'Eté de Probabilités de Saint-Flour XXXIV -- 2004. Lectures given at the 34th probability summer school, July 6--24, 2004.
+Normal rank
@@ Property / cites work @@
+Differential equations driven by fractional Brownian motion
+Normal rank
@@ Property / cites work @@
+Power variation from second order differences for pure jump semimartingales
+Normal rank