Self-similarity parameter estimation and reproduction property for non-Gaussian Hermite processes

zbMath1331.62098arXiv0807.1208MaRDI QIDQ2787468

Ciprian A. Tudor, Alexandra Chronopoulou, Frederi G. Viens

Publication date: 4 March 2016

Full work available at URL: https://arxiv.org/abs/0807.1208

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Stochastic calculus of variations and the Malliavin calculus (60H07)

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