Parameter estimation of selfsimilarity exponents

DOI10.1016/J.JMVA.2007.04.003MaRDI QIDQ2482610zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(10)

• Integral representations and properties of operator fractional Brownian motions
• Estimation of stopping times for stopped self-similar random processes
• scientific article; zbMATH DE number 3950338 (Why is no real title available?)
• Estimating self-similarity through complex variations
• scientific article; zbMATH DE number 2064996 (Why is no real title available?)
• Two-step wavelet-based estimation for Gaussian mixed fractional processes
• Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
• scientific article; zbMATH DE number 1488131 (Why is no real title available?)
• Exponents, symmetry groups and classification of operator fractional Brownian motions
• Wavelet eigenvalue regression in high dimensions

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