Estimation of the Hurst parameter in some fractional processes

DOI10.1080/00949655.2011.624098MaRDI QIDQ4922651zbMATH OpenOpenAlexFDO

Authors Luis A. Salomón Hernández, Jean-Claude Fort

Publication date 3 June 2013

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2011.624098

zbMATH Keywords

fractional Gaussian processHurst parameter estimationKarhunen-Loève expansion

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Markov processes: estimation; hidden Markov models (62M05)

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Cites work

• Asymptotic behavior of the eigenvalues of certain integral equations. II
• Asymptotics of Karhunen-Loève eigenvalues and tight constants for probability distributions of passive scalar transport
• Fractional {O}rnstein-{U}hlenbeck processes
• On fractional Ornstein-Uhlenbeck processes
• On spectral simulation of fractional Brownian motion
• Small ball constants and tight eigenvalue asymptotics for fractional Brownian motions
• Tests for Hurst effect

Cited in

(15)

• Maximum likelihood estimators of a long-memory process from discrete observations
• Estimation of parameters of fractional stable distributions
• Quantum probes for fractional Gaussian processes
• Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
• Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process
• Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
• Estimation of the Hurst parameter of some self-similar symmetric stable processes with stationary increments
• Estimation and testing of the Hurst parameter using p-variation
• scientific article; zbMATH DE number 5629272 (Why is no real title available?)
• scientific article; zbMATH DE number 1995717 (Why is no real title available?)
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
• Estimation of the Hurst and diffusion parameters in fractional stochastic heat equation
• A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion
• Spectral estimation of the fractional order of a Lévy process
• Estimating the Hurst effect and its application in monitoring clinical trials

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