Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size

DOI10.1007/s11203-011-9061-3zbMath1236.62096arXiv0910.3088MaRDI 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

zbMATH Keywords

concentration inequalities

Mathematics Subject Classification ID

60G22: Fractional processes, including fractional Brownian motion

62M05: Markov processes: estimation; hidden Markov models

Related Items

Variance Estimation for Fractional Brownian Motions with Fixed Hurst Parameters, Exact confidence intervals of the extended Orey index for Gaussian processes, The rate of convergence of Hurst index estimate for the stochastic differential equation, 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, Generalized Bernoulli process: simulation, estimation, and application, Statistical test for fractional Brownian motion based on detrending moving average algorithm, Hurst estimation for operator scaling random fields, A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion

Uses Software

• longmemo
• wmtsa
• SimEstFBM

Cites Work

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