Expectiles for subordinated Gaussian processes with applications

DOI10.1214/12-EJS674MaRDI QIDQ1950818zbMATH OpenOpenAlexFDO

Authors 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, https://projecteuclid.org/euclid.ejs/1331216628

zbMATH Keywords

expectilesfractional Brownian motionlocal shift sensitivityrobustnesssubordinated Gaussian process

Mathematics Subject Classification ID

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

Abstract: In this paper, we introduce a new class of estimators of the Hurst exponent of the fractional Brownian motion (fBm) process. These estimators are based on sample expectiles of discrete variations of a sample path of the fBm process. In order to derive the statistical properties of the proposed estimators, we establish asymptotic results for sample expectiles of subordinated stationary Gaussian processes with unit variance and correlation function satisfying $ho(i)simkappa|i{|}^{-alpha}$ ($kappainRR$) with $alpha>0$. Via a simulation study, we demonstrate the relevance of the expectile-based estimation method and show that the suggested estimators are more robust to data rounding than their sample quantile-based counterparts.

Review text

It is well known that the increment process of fractional Brownian motion (fBm) has a correlation function with asymptotic power law decay \(\rho_H(i)\sim|i|^{2H-2}\), where \(H\in(0,1)\) is the Hurst exponent. More generally, the authors study subordinated stationary Gaussian processes with unit variance and correlation function of asymptotic power law decay. A Bahadur-type representation for sample expectiles of such processes is presented which proves asymptotic normality of the sample expectiles in case of short-range dependence. This allows to define new discrete variation estimators for the Hurst exponent of fBm which rely on scale and location equivariance properties of the expectiles. The estimators are refinements of methods by the first author by substituting sample variance, respectively quantiles, by expectiles. Further, consistency and asymptotic normality of the estimators are proved. The authors finally provide a simulation study in order to confirm the effectiveness of their estimation procedures.

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Cited in

(3)

• Statistical test for fractional Brownian motion based on detrending moving average algorithm
• Discrepancy, chaining and subgaussian processes
• On properties and applications of Gaussian subordinated Lévy fields

Describes a project that uses

Uses Software

• wmtsa
• SimEstFBM

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