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

DOI10.1016/J.SPL.2017.04.005MaRDI QIDQ2407486zbMATHOpenAlexFDO

Authors 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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Cites work

• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 1086066 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Basic properties of the Multivariate Fractional Brownian Motion
• Central limit theorems for non-linear functionals of Gaussian fields
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
• Fractional Brownian Motions, Fractional Noises and Applications
• Generalized fractional Lévy processes with fractional Brownian motion limit
• Identification of the Multivariate Fractional Brownian Motion
• Integral representations and properties of operator fractional Brownian motions
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Statistics for complex variables and signals. II: Signals

Cited in

(6)

• 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
• An \(\alpha\)-order fractional Brownian motion with Hurst index \(H \in (0,1)\) and \(\alpha \in \mathbb{R}_+\)
• Complex-order scale-invariant operators and self-similar processes
• Electromagnetic scattering on fractional Brownian surfaces and estimation of the Hurst exponent

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