Estimation and testing of the Hurst parameter using p-variation
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Estimation and testing of the Hurst parameter using \(p\)-variation
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(13)- On the relationship between the Hurst exponent, the ratio of the mean square successive difference to the variance, and the number of turning points
- Quantum probes for fractional Gaussian processes
- Order flow in the financial markets from the perspective of the fractional Lévy stable motion
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- Statistical test for fractional Brownian motion based on detrending moving average algorithm
- Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
- Rotational invariance of stochastic processes with application to fractional dynamics
- scientific article; zbMATH DE number 5629272 (Why is no real title available?)
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- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- Anomalous diffusion originated by two Markovian hopping-trap mechanisms
- Parameter estimation of the fractional Ornstein-Uhlenbeck process based on quadratic variation
- A criterion for testing hypothesis about the value of the Hurst parameter of fractional Brownian motion.
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