Estimating the Hurst parameter
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- scientific article; zbMATH DE number 2118845
- Baxter estimates of the Hurst parameter of fractional Brownian motion
- Estimation in models driven by fractional Brownian motion
- Theoretical and numerical comparisons of the parameter estimator of the fractional Brownian motion
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
Cites work
- Almost sure oscillation of certain random processes
- Broadband log-periodogram regression of time series with long-range dependence
- Central limit theorems for non-linear functionals of Gaussian fields
- ESTIMATION OF FRACTAL INDEX AND FRACTAL DIMENSION OF A GAUSSIAN PROCESS BY COUNTING THE NUMBER OF LEVEL CROSSINGS
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Fractional Brownian Motions, Fractional Noises and Applications
- Identification of filtered white noises
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- Limiting distributions of nonlinear vector functions of stationary Gaussian processes
- Parametric estimation for Gaussian long-range dependent processes based on the log-periodogram
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Self-intersection gauge for random walks and for Brownian motion
- Wavelet analysis and synthesis of fractional Brownian motion
Cited in
(24)- Estimation of the Hurst parameter in some fractional processes
- Estimation in models driven by fractional Brownian motion
- Estimating the Hurst effect and its application in monitoring clinical trials
- Quantitative Breuer-Major theorems
- Variance estimation for fractional Brownian motions with fixed Hurst parameters
- scientific article; zbMATH DE number 5629272 (Why is no real title available?)
- Estimation of the Hurst parameter of some self-similar symmetric stable processes with stationary increments
- A criterion for testing hypothesis about the value of the Hurst parameter of fractional Brownian motion.
- Estimation of parameters of the fractional Brownian motion by observations with errors and confidence intervals
- Estimation of the Hurst parameter from discrete noisy data
- Deviation of order p for estimators of the variance in first-order stochastic differential equation (SDE)
- Variance estimator for fractional diffusions with variance and drift depending on time
- Estimation and testing of the Hurst parameter using p-variation
- scientific article; zbMATH DE number 1762658 (Why is no real title available?)
- Interval estimation of the fractional Brownian motion parameter in a model with measurement error
- Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter
- Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
- scientific article; zbMATH DE number 2118845 (Why is no real title available?)
- Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion
- Convergence in fractional models and applications
- Fast and unbiased estimator of the time-dependent Hurst exponent
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- Bayesian estimation of the Hurst parameter of fractional Brownian motion
- Hurst function estimation
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