Wavelet estimation for operator fractional Brownian motion (Q2405206): Difference between revisions

The operator fractional Brownian motion (OFBM) is a vector-valued extension of the univariate fractional Brownian motion. The law of an OFBM scales according to a Hurst marix that affects every component of the process. The authors develop a wavelet analysis of OFBM and suggest a new estimator for the Hurst matrix of a bivariate OFBM. They derive consistent and asymptotically normal estimators for the Hurst eigenvalues and eigenvectors under some assumptions.