Cramèr-Rao bounds for fractional Brownian motions

DOI10.1016/S0167-7152(00)00197-8zbMath1092.62574OpenAlexW1995942825MaRDI QIDQ5952114

Istas Jacques, Coeurjolly Jean-François

Publication date: 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00197-8

zbMATH Keywords

Fractional Brownian motionCramèr-Rao boundsInvertibility of localized matrices

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65)

Related Items (7)

Identification of multifractional Brownian motion ⋮ Identifying the anisotropical function of a \(d\)-dimensional Gaussian self-similar process with stationary increments ⋮ A minimal contrast estimator for the linear fractional stable motion ⋮ On roughness indices for fractional fields ⋮ Estimation of the linear fractional stable motion ⋮ Local asymptotic normality property for fractional Gaussian noise under high-frequency observations ⋮ Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion

Cites Work

• Propriétés des matrices ``bien localisées près de leur diagonale et quelques applications. (Properties of matrices ``well localized near the diagonal and some applications)
• Efficient parameter estimation for self-similar processes
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Identification of filtered white noises
• Fractional Brownian Motions, Fractional Noises and Applications
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