Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
DOI10.1016/J.SPL.2017.04.005zbMATH Open1379.60044OpenAlexW2606907027MaRDI QIDQ2407486FDOQ2407486
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
Recommendations
- An \(\alpha\)-order fractional Brownian motion with Hurst index \(H \in (0,1)\) and \(\alpha \in \mathbb{R}_+\)
- Theoretical and numerical comparisons of the parameter estimator of the fractional Brownian motion
- scientific article; zbMATH DE number 6159449
- Fractional Brownian motion with two-variable Hurst exponent
- Identification of multifractional Brownian motion
Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)
Cites Work
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Fractional Brownian Motions, Fractional Noises and Applications
- Title not available (Why is that?)
- Title not available (Why is that?)
- Integral representations and properties of operator fractional Brownian motions
- Basic properties of the Multivariate Fractional Brownian Motion
- Central limit theorems for non-linear functionals of Gaussian fields
- Title not available (Why is that?)
- Title not available (Why is that?)
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Generalized fractional Lévy processes with fractional Brownian motion limit
- Statistics for complex variables and signals. II: Signals
- Identification of the Multivariate Fractional Brownian Motion
Cited In (6)
- Complex-order scale-invariant operators and self-similar processes
- Electromagnetic scattering on fractional Brownian surfaces and estimation of the Hurst exponent
- An \(\alpha\)-order fractional Brownian motion with Hurst index \(H \in (0,1)\) and \(\alpha \in \mathbb{R}_+\)
- Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix
- Long memory estimation for complex-valued time series
- Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood
This page was built for publication: Properties and Hurst exponent estimation of the circularly-symmetric fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2407486)
