Estimation of ordinal pattern probabilities in fractional Brownian motion
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Publication:6208069
arXiv0801.1598MaRDI QIDQ6208069FDOQ6208069
Authors: Mathieu Sinn, Karsten Keller 
Publication date: 10 January 2008
Abstract: For equidistant discretizations of fractional Brownian motion (fBm), the probabilities of ordinal patterns of order d=2 are monotonically related to the Hurst parameter H. By plugging the sample relative frequency of those patterns indicating changes between up and down into the monotonic relation to H, one obtains the Zero Crossing (ZC) estimator of the Hurst parameter which has found considerable attention in mathematical and applied research. In this paper, we generally discuss the estimation of ordinal pattern probabilities in fBm. As it turns out, according to the sufficiency principle, for ordinal patterns of order d=2 any reasonable estimator is an affine functional of the sample relative frequency of changes. We establish strong consistency of the estimators and show them to be asymptotically normal for H<3/4. Further, we derive confidence intervals for the Hurst parameter. Simulation studies show that the ZC estimator has larger variance but less bias than the HEAF estimator of the Hurst parameter.
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