Estimation of the Hurst parameter from discrete noisy data
From MaRDI portal
Publication:2466677
DOI10.1214/009053607000000316zbMath1126.62073arXiv0711.3342MaRDI QIDQ2466677
Publication date: 16 January 2008
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0711.3342
noisy data; fractional Brownian motion; scaling exponent; high frequency data; wavelet methods; adaptive estimation of quadratic functionals
62F12: Asymptotic properties of parametric estimators
62G05: Nonparametric estimation
62M09: Non-Markovian processes: estimation
62G99: Nonparametric inference
Related Items
Modelling NASDAQ series by sparse multifractional Brownian motion, Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values, Estimation of the volatility persistence in a discretely observed diffusion model, Adaptive wavelet estimation of the diffusion coefficient under additive error measurements, Estimation of the Hurst parameter from discrete noisy data, Discretization error of wavelet coefficient for fractal like processes, A Non-Parametric Estimator of the Spectral Density of a Continuous-Time Gaussian Process Observed at Random Times
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Efficient parameter estimation for self-similar processes
- Central limit theorems for quadratic forms in random variables having long-range dependence
- On the optimal number of scales in estimation of fractal signals using wavelets and filter banks
- Time series: theory and methods.
- Elliptic Gaussian random processes
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Stochastic integral representation and properties of the wavelet coefficients of linear fractional stable motion
- Meaningful MRA initialization for discrete time series.
- Wavelets, generalized white noise and fractional integration: The synthesis of fractional Brownian motion
- On optimal adaptive estimation of a quadratic functional
- Semi-parametric estimation of the Hölder exponent of a stationary Gaussian process with minimax rates
- Wavelet methods to estimate an integrated quadratic functional: Adaptivity and asymptotic law
- Estimation of the Hurst parameter from discrete noisy data
- Stochastic volatility and fractional Brownian motion
- Estimation and information in stationary time series
- Correlation structure of the discrete wavelet coefficients of fractional Brownian motion
- Quelques espaces fonctionnels associés à des processus gaussiens
- Diffusions with measurement errors. I. Local Asymptotic Normality
- Minimum Contrast Estimation for Fractional Diffusions
- A wavelet-based joint estimator of the parameters of long-range dependence
