Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance

DOI10.1155/2012/905082MaRDI QIDQ1929686zbMATH OpenOpenAlexWikidataFDO

Authors Alessandra Bianchi, Irene Crimaldi, Massimo Campanino

Publication date 9 January 2013

Published in International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2012/905082

zbMATH Keywords

fractional Brownian motionHurst parametermodified Allan variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• scientific article; zbMATH DE number 3721546 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
• Asymptotic normality of wavelet estimators of the memory parameter for linear processes
• CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
• Fractional Brownian Motions, Fractional Noises and Applications
• On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
• Wavelet analysis of long-range-dependent traffic

Describes a project that uses

Uses Software

• SimEstFBM
• longmemo

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