Semi-parametric estimation of the Hölder exponent of a stationary Gaussian process with minimax rates
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Publication:1857367
DOI10.1023/A:1012227325436zbMath1008.62081MaRDI QIDQ1857367
Publication date: 24 March 2003
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
fractional Brownian motion; fractal dimension; Hölder exponent; semi-parametric models; discrete variations; Adler process; minimax optimal rate estimation
62G05: Nonparametric estimation
62M09: Non-Markovian processes: estimation
62M05: Markov processes: estimation; hidden Markov models
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