A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY

DOI10.1142/S0218348X04002586zbMath1302.62189OpenAlexW3125775313MaRDI QIDQ2937149

Sergio Bianchi

Publication date: 8 January 2015

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218348x04002586

zbMATH Keywords

fractional Brownian motionself-similaritydistanceKolmogorov-Smirnov test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18) Non-Markovian processes: hypothesis testing (62M07)

Related Items (3)

A new estimator of the self-similarity exponent through the empirical likelihood ratio test ⋮ Testing self-similarity through Lamperti transformations ⋮ Rough volatility via the Lamperti transform

Uses Software

• SimEstFBM

Cites Work

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