Estimation of the Hurst parameter from continuous noisy data

DOI10.1214/23-EJS2156arXiv2205.11092OpenAlexW4387349917MaRDI QIDQ6184880FDOQ6184880

Authors: Pavel Chigansky, Marina Kleptsyna 

Publication date: 5 January 2024

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: This paper addresses the problem of estimating the Hurst exponent of the fractional Brownian motion from continuous time noisy sample. Consistent estimation in the setup under consideration is possible only if either the length of the observation interval increases to infinity or intensity of the noise decreases to zero. The main result is a proof of the Local Asymptotic Normality (LAN) of the model in these two regimes, which reveals the optimal minimax rates.

Full work available at URL: https://arxiv.org/abs/2205.11092

zbMATH Keywords

fractional Brownian motionlocal asymptotic normalityHurst parameter estimation

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22)

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Cited In (2)

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• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise

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