scientific article; zbMATH DE number 2168996

MaRDI QIDQ4675129zbMATH OpenFDO

Authors O. O. Kurchenko

Publication date 20 May 2005

zbMATH Keywords

Hurst parameterGaussian stationary random sequences

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Non-Markovian processes: estimation (62M09)

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Cited in

(5)

• Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance
• Path properties of dilatively stable processes and singularity of their distributions
• Singularity of Subfractional Brownian Motions with Different Hurst Indices
• α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties
• ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES

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