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

DOI10.1155/2012/905082zbMath1398.62220OpenAlexW2165657607WikidataQ58689593 ScholiaQ58689593MaRDI QIDQ1929686

Irene Crimaldi, Alessandra Bianchi, 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) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

Uses Software

• longmemo
• SimEstFBM

Cites Work

• A wavelet Whittle estimator of the memory parameter of a nonstationary Gaussian time series
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• Asymptotic normality of wavelet estimators of the memory parameter for linear processes
• On the Spectral Density of the Wavelet Coefficients of Long-Memory Time Series with Application to the Log-Regression Estimation of the Memory Parameter
• CENTRAL LIMIT THEOREM FOR THE LOG-REGRESSION WAVELET ESTIMATION OF THE MEMORY PARAMETER IN THE GAUSSIAN SEMI-PARAMETRIC CONTEXT
• Wavelet analysis of long-range-dependent traffic
• Fractional Brownian Motions, Fractional Noises and Applications
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
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