Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data (Q5861006)
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scientific article; zbMATH DE number 7484531
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| English | Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data |
scientific article; zbMATH DE number 7484531 |
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Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data (English)
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4 March 2022
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estimation
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fractal index
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fractional Brownian motion
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inference
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roughness
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stochastic volatility
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0.88795984
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0.87927645
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0.87585115
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0.87445056
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0.8731364
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0.8700355
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0.86965394
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