Expectiles for subordinated Gaussian processes with applications

DOI10.1214/12-EJS674zbMath1277.60071arXiv1107.0540MaRDI QIDQ1950818

Jean-François Coeurjolly, Hedi Kortas

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.0540

zbMATH Keywords

robustness; fractional Brownian motion; expectiles; local shift sensitivity; subordinated Gaussian process

Mathematics Subject Classification ID

60G15: Gaussian processes

62G05: Nonparametric estimation

60G22: Fractional processes, including fractional Brownian motion

62G30: Order statistics; empirical distribution functions

60G10: Stationary stochastic processes

60G18: Self-similar stochastic processes

Related Items

Statistical test for fractional Brownian motion based on detrending moving average algorithm

Uses Software

• wmtsa
• SimEstFBM

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