Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
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Publication:5952141
DOI10.1023/A:1017507306245zbMath0984.62058OpenAlexW2124984528MaRDI QIDQ5952141
Publication date: 14 May 2002
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1017507306245
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Brownian motion (60J65)
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