Asymptotic expansion of an estimator for the Hurst coefficient

DOI10.1007/S11203-023-09298-8OpenAlexW4387019193MaRDI QIDQ6155087FDOQ6155087

Authors Yuliya S. Mishura, Hayate Yamagishi, Nakahiro Yoshida 

Publication date 16 February 2024

Published in Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2209.02919

zbMATH Keywords

asymptotic expansionMalliavin calculuscentral limit theoremEdgeworth expansionfractional Brownian motionHurst coefficient

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Abstract: Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the distribution of Wiener functionals is applied. The effects of the asymptotic expansion are demonstrated by numerical studies.

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