Innovative methods for modeling of scale invariant processes

DOI10.1080/03610926.2017.1350273OpenAlexW2734481759MaRDI QIDQ5160246

Saeid Rezakhah, Anne Philippe, N. Modarresi

Publication date: 28 October 2021

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2017.1350273

zbMATH Keywords

fractional Brownian motionself-similar processesscale parameterdiscrete scale invariant processesHurst estimation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

Related Items

Multi-scale invariant fields: estimation and prediction

Uses Software

• SimEstFBM

Cites Work

• Discretization of continuous time discrete scale invariant processes: estimation and spectra
• A new structure for analyzing discrete scale invariant processes: covariance and spectra
• A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Identification of a locally self-similar Gaussian process by using convex rearrangements
• Characterization of discrete scale invariant Markov sequences
• Spectral analysis of multi-dimensional self-similar Markov processes
• Linear estimation of self-similar processes via Lamperti's transformation
• A wavelet-based joint estimator of the parameters of long-range dependence
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