Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size

DOI10.1007/s11203-011-9061-3zbMath1236.62096arXiv0910.3088OpenAlexW1977718660MaRDI QIDQ411542

Jean-François Coeurjolly, Jean-Christophe Breton

Publication date: 4 April 2012

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.3088

zbMATH Keywords

concentration inequalities

Mathematics Subject Classification ID

Related Items (9)

Exact confidence intervals of the extended Orey index for Gaussian processes ⋮ Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion ⋮ On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion ⋮ Statistical test for fractional Brownian motion based on detrending moving average algorithm ⋮ The rate of convergence of Hurst index estimate for the stochastic differential equation ⋮ Hurst estimation for operator scaling random fields ⋮ Variance Estimation for Fractional Brownian Motions with Fixed Hurst Parameters ⋮ A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion ⋮ Generalized Bernoulli process: simulation, estimation, and application

Uses Software

• longmemo
• wmtsa
• SimEstFBM

Cites Work

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