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

MaRDI QIDQ2197373zbMATH OpenFDO

Authors 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 motionHurst parameter estimationirregular samplingmaximum likelihood estimator

Mathematics Subject Classification ID

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

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Cited in

(1)

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

Describes a project that uses

Uses Software

• R
• SimEstFBM
• longmemo

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