scientific article; zbMATH DE number 1453179

MaRDI QIDQ4955461zbMATH OpenFDO

Authors Donna Mary Salopek, Rimas Norvaiša

Publication date 5 December 2001

zbMATH Keywords

simulated fractional Brownian motion

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Applications of statistics to actuarial sciences and financial mathematics (62P05) Strong limit theorems (60F15)

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(6)

• On estimation of the extended Orey index for Gaussian processes
• Estimation of ordinal pattern probabilities in Gaussian processes with stationary increments
• Weighted power variation of integrals with respect to a Gaussian process
• Estimating the p-variation index of a sample function: an application to financial data set
• Rough functions: \(p\)-variation, calculus, and index estimation
• CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index

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