Hurst index estimation for self-similar processes with long-memory

MaRDI QIDQ3581693zbMATH OpenFDO

Authors Alexandra Chronopoulou, Frederi Viens

Publication date 2 September 2010

zbMATH Keywords

fractional Brownian motion, non-central limit theoremHermite processHurst parameterMalliavin calculusmultiple stochastic integralquadratic variation

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Stochastic calculus of variations and the Malliavin calculus (60H07) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09)

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Cited in

(16)

• Hurst exponent estimation of self-affine time series using quantile graphs
• Estimation of the Hurst and the stability indices of a H-self-similar stable process
• Impact of correlated noises on additive dynamical systems
• Asymptotic normality of the estimators for fractional Brownian motions with discrete data
• A comparison of Hurst exponent estimators in long-range dependent curve time series
• Generalisation of fractional Cox-Ingersoll-Ross process
• Estimation of the Hurst parameter of some self-similar symmetric stable processes with stationary increments
• Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes
• Quantifying Model Uncertainties in Complex Systems
• Self-similarity/memory-length parameter estimation for non-Gaussian Hermite processes via chaos expansion
• Asymptotic behavior of the Whittle estimator for the increments of a Rosenblatt process
• Remarks on confidence intervals for self-similarity parameter of a subfractional Brownian motion
• Estimation and pricing under long-memory stochastic volatility
• Hurst parameter under finite second moment and under heavy tails
• Numerical simulation of generalized Hermite processes
• Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles

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