Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise
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Publication:1950323
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Cites work
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- Estimation of spectral exponent parameter of \(1/f\) process in additive white background noise
- Estimators of long-memory: Fourier versus wavelets
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- Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles
- Identification of multifractional Brownian motion
- Orthonormal bases of compactly supported wavelets
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- Quadratic variations of spherical fractional Brownian motions
- Robust estimation of the self-similarity parameter in network traffic using wavelet transform
Cited in
(9)- Correlation properties of (discrete) fractional Gaussian noise and fractional Brownian motion
- Forecasting of time data with using fractional Brownian motion
- Expectiles for subordinated Gaussian processes with applications
- Asymptotic behavior of mixed power variations and statistical estimation in mixed models
- Estimation of the Hurst parameter from discrete noisy data
- A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction
- Estimators of fractal dimension: assessing the roughness of time series and spatial data
- Estimation of the Hurst parameter from continuous noisy data
- Kolmogorov-Smirnov estimation of self-similarity in long-range dependent fractional processes
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