Estimating self-similarity through complex variations
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Publication:1950866
DOI10.1214/12-EJS717zbMath1334.60052MaRDI QIDQ1950866
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
62F12: Asymptotic properties of parametric estimators
60G15: Gaussian processes
60F05: Central limit and other weak theorems
60G22: Fractional processes, including fractional Brownian motion
62M09: Non-Markovian processes: estimation
60G18: Self-similar stochastic processes
60G52: Stable stochastic processes
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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
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