Hurst index estimation for self-similar processes with long-memory (Q3581693)
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scientific article; zbMATH DE number 5777946
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| English | Hurst index estimation for self-similar processes with long-memory |
scientific article; zbMATH DE number 5777946 |
Statements
2 September 2010
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Hurst parameter
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multiple stochastic integral
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Malliavin calculus
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Hermite process
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fractional Brownian motion, non-central limit theorem
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quadratic variation
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0.850226640701294
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0.8287420272827148
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0.8275343775749207
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0.8079881072044373
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