Estimating self-similarity through complex variations

DOI10.1214/12-EJS717zbMath1334.60052OpenAlexW2076888252MaRDI QIDQ1950866

Jacques Istas

Publication date: 28 May 2013

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

Full work available at URL: https://projecteuclid.org/euclid.ejs/1343738543

zbMATH Keywords

self-similarity\(H\)-sssi processescomplex variations

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

Related Items (2)

A new estimator of the self-similarity exponent through the empirical likelihood ratio test ⋮ Estimation of the multifractional function and the stability index of linear multifractional stable processes

Cites Work

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• Normal Approximations with Malliavin Calculus
• Integral-geometric construction of self-similar stable processes
• Manifold indexed fractional fields
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

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