Efficiently implementing the maximum likelihood estimator for Hurst exponent

DOI10.1155/2014/490568MaRDI QIDQ1718521zbMATH OpenOpenAlexWikidataFDO

Authors Yen-Ching Chang

Publication date 8 February 2019

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/490568

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

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• scientific article; zbMATH DE number 3794378 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion
• A practical method for estimating fractal dimension
• Application of the Hurst exponent in ecology
• Combining fractal and deterministic walkers for texture analysis and classification
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Fractional Brownian Motions, Fractional Noises and Applications

Cited in

(7)

• Calibrating rough volatility models: a convolutional neural network approach
• AN EFFICIENT MAXIMUM LIKELIHOOD ESTIMATOR FOR TWO-DIMENSIONAL FRACTIONAL BROWNIAN MOTION
• Fast and unbiased estimator of the time-dependent Hurst exponent
• Optimal trade execution for Gaussian signals with power-law resilience
• Bayesian approach to Hurst exponent estimation
• Introducing an interpolation method to efficiently implement an approximate maximum likelihood estimator for the Hurst exponent
• Rough volatility and CGMY jumps with a finite history and the rough Heston model -- small-time asymptotics in the \(k\sqrt{t}\) regime

Describes a project that uses

Uses Software

• longmemo

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