Expectiles for subordinated Gaussian processes with applications

DOI10.1214/12-EJS674zbMath1277.60071arXiv1107.0540OpenAlexW2963872068MaRDI QIDQ1950818

Jean-François Coeurjolly, Hedi Kortas

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.0540

zbMATH Keywords

robustnessfractional Brownian motionexpectileslocal shift sensitivitysubordinated Gaussian process

Mathematics Subject Classification ID

Gaussian processes (60G15) Nonparametric estimation (62G05) Fractional processes, including fractional Brownian motion (60G22) Order statistics; empirical distribution functions (62G30) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

Related Items (1)

Statistical test for fractional Brownian motion based on detrending moving average algorithm

Uses Software

• wmtsa
• SimEstFBM

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