A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion
From MaRDI portal
Publication:2520520
DOI10.1016/j.spl.2016.10.005zbMath1416.60050arXiv1607.08202MaRDI QIDQ2520520
V. Skorniakov, Kęstutis Kubilius
Publication date: 15 December 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1607.08202
Related Items
Cites Work
- Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
- Measuring the roughness of random paths by increment ratios
- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- Measure Theory and Probability Theory
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths