Parameter estimation of selfsimilarity exponents

DOI10.1016/J.JMVA.2007.04.003zbMATH Open1333.62149OpenAlexW2047616105MaRDI QIDQ2482610FDOQ2482610

Authors: Peter Kern, Gyula Pap 

Publication date: 23 April 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2007.04.003

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zbMATH Keywords

parameter estimationspectral decompositionOrnstein-Uhlenbeck type processoperator semi-selfsimilar processselfsimilarity exponent

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Self-similar stochastic processes (60G18)

Cites Work

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• Moment estimator for random vectors with heavy tails
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• Operator-Self-Similar Processes in a Finite-Dimensional Space
• Random integral representation of operator-semi-self-similar processes with independent incre\-ments.
• Self-similar processes with independent increments associated with Lévy and Bessel processes.
• Semi-Lévy processes, semi-selfsimilar additive processes, and semi-stationary Ornstein-Uhlen\-beck type processes
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Cited In (10)

• Estimation of stopping times for stopped self-similar random processes
• Title not available (Why is no real title available?)
• Title not available (Why is no real title available?)
• Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
• Title not available (Why is no real title available?)
• Wavelet eigenvalue regression in high dimensions
• Estimating self-similarity through complex variations
• Exponents, symmetry groups and classification of operator fractional Brownian motions
• Integral representations and properties of operator fractional Brownian motions
• Two-step wavelet-based estimation for Gaussian mixed fractional processes

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