Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter

zbMath1455.62165MaRDI QIDQ2197373

Sullivan Hidot, Jean-Yves Lafaye

Publication date: 31 August 2020

Published in: Journal de la Société Française de Statistique \& Revue de Statistique Appliquée (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item/JSFS_2008__149_1_81_0

zbMATH Keywords

fractional Brownian motionmaximum likelihood estimatorirregular samplingHurst parameter estimation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

Related Items

A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework

Uses Software

• R
• longmemo
• SimEstFBM

Cites Work

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