A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework (Q2160923)
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scientific article; zbMATH DE number 7567363
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| English | A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework |
scientific article; zbMATH DE number 7567363 |
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A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework (English)
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3 August 2022
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fractional Brownian motion
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Hurst exponent
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Lamperti transform
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maximum likelihood
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stationary process
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0.7580739855766296
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0.7509059309959412
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0.7453029155731201
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0.7365142107009888
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0.733208179473877
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