Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood

DOI10.1016/J.CAM.2019.112609zbMATH Open1431.60040OpenAlexW2984447777WikidataQ126776075 ScholiaQ126776075MaRDI QIDQ2297115FDOQ2297115

Authors: Liang Wu, Yiming Ding 

Publication date: 18 February 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2019.112609

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zbMATH Keywords

Hurst parameterself-similarityfractional Brownian sheetwavelets transform

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Fractional processes, including fractional Brownian motion (60G22)

Cites Work

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Cited In (6)

• Title not available (Why is that?)
• TESTING FOR EFFECTS OF CROSS-CORRELATIONS ON JOINT MULTIFRACTALITY
• Wavelet-based estimator for the Hurst parameters of fractional Brownian sheet
• On optimal scale upper bound in wavelet-based estimation for hurst index of fractional Brownian motion
• Estimation of fractional Brownian motion embedded in a noisy environment using nonorthogonal wavelets
• Mean square stability of stochastic theta method for stochastic differential equations driven by fractional Brownian motion

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