Theoretical and numerical comparisons of the parameter estimator of the fractional Brownian motion
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Publication:2002197
DOI10.1007/978-3-319-97175-9_6zbMATH Open1420.62089OpenAlexW2899147155MaRDI QIDQ2002197FDOQ2002197
Publication date: 11 July 2019
Full work available at URL: https://doi.org/10.1007/978-3-319-97175-9_6
Point estimation (62F10) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)
Cited In (9)
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
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- Two approaches to consistent estimation of parameters of mixed fractional Brownian motion with trend
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- Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion
- Evaluating the efficiency of fractional integration parameter estimators
- Title not available (Why is that?)
- Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion
- Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
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