Semi-parametric estimation of the Hölder exponent of a stationary Gaussian process with minimax rates

DOI10.1023/A:1012227325436zbMATH Open1008.62081OpenAlexW1561911018MaRDI QIDQ1857367FDOQ1857367

Authors: Gabriel Lang, François Roueff 

Publication date: 24 March 2003

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1012227325436

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zbMATH Keywords

fractional Brownian motionfractal dimensionsemi-parametric modelsdiscrete variationsAdler processminimax optimal rate estimationHölder exponent

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Non-Markovian processes: estimation (62M09)

Cited In (18)

• Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders
• Estimates for the distribution of Hölder semi-norms of real stationary Gaussian processes with a stable correlation function
• Limit theorems for power variations of ambit fields driven by white noise
• Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
• Power variation for Gaussian processes with stationary increments
• Optimal rates for parameter estimation of stationary Gaussian processes
• Global smoothness estimation of a Gaussian process from general sequence designs
• Limit theorems for functionals of higher order differences of Brownian semi-stationary processes
• Estimation of anisotropic Gaussian fields through Radon transform
• Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values
• Estimation of the Hurst parameter from discrete noisy data
• Estimation of the volatility persistence in a discretely observed diffusion model
• Asymptotic theory for Brownian semi-stationary processes with application to turbulence
• Gaussian fields and Gaussian sheets with generalized Cauchy covariance structure
• Testing for changes in the tail behavior of Brown-Resnick Pareto processes
• Semi-parametric estimation of the variogram scale parameter of a Gaussian process with stationary increments
• Asymptotically equivalent prediction in multivariate geostatistics
• The local fractional bootstrap

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