Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion

DOI10.1016/j.spl.2017.04.005zbMath1379.60044OpenAlexW2606907027MaRDI QIDQ2407486

Jean-François Coeurjolly, Emilio Porcu

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.04.005

zbMATH Keywords

Hurst exponent estimationmultivariate fractional Brownian motioncomplex-valued stochastic process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

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Long memory estimation for complex-valued time series, Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood, Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix

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