Theoretical and numerical comparisons of the parameter estimator of the fractional Brownian motion

DOI10.1007/978-3-319-97175-9_6MaRDI QIDQ2002197zbMATH OpenOpenAlexFDO

Authors Jean-Marc Bardet

Publication date 11 July 2019

Full work available at URL https://doi.org/10.1007/978-3-319-97175-9_6

zbMATH Keywords

parametric estimationfractional Brownian motionHurst parameterlimit theoremlong memory process

Mathematics Subject Classification ID

Point estimation (62F10) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17)

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Cited in

(26)

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• Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
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• 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
• Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
• On moments of Pitman estimators: the case of fractional Brownian motion
• The asymptotic behavior of the R/S statistic for fractional Brownian motion
• Estimation and testing of the Hurst parameter using \(p\)-variation
• Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
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• Combinatorial fractal Brownian motion model
• Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise
• Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion
• Evaluating the efficiency of fractional integration parameter estimators
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• Parameter estimation and spectrum of fractional ARIMA process
• On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
• Cramèr-Rao bounds for fractional Brownian motions
• Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion

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