Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
From MaRDI portal
Publication:411542
DOI10.1007/s11203-011-9061-3zbMath1236.62096arXiv0910.3088OpenAlexW1977718660MaRDI QIDQ411542
Jean-François Coeurjolly, Jean-Christophe Breton
Publication date: 4 April 2012
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0910.3088
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (9)
Exact confidence intervals of the extended Orey index for Gaussian processes ⋮ Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion ⋮ On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion ⋮ Statistical test for fractional Brownian motion based on detrending moving average algorithm ⋮ The rate of convergence of Hurst index estimate for the stochastic differential equation ⋮ Hurst estimation for operator scaling random fields ⋮ Variance Estimation for Fractional Brownian Motions with Fixed Hurst Parameters ⋮ A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion ⋮ Generalized Bernoulli process: simulation, estimation, and application
Uses Software
Cites Work
- Measuring the roughness of random paths by increment ratios
- Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles
- Robust estimation of the self-similarity parameter in network traffic using wavelet transform
- Density formula and concentration inequalities with Malliavin calculus
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Gaussian semiparametric estimation of long range dependence
- Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
- Estimators of long-memory: Fourier versus wavelets
- Orthonormal bases of compactly supported wavelets
- A wavelet-based joint estimator of the parameters of long-range dependence
- Fractional Brownian Motions, Fractional Noises and Applications
- Wavelet estimator of long-range dependent processes.
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
