Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics

DOI10.1063/5.0201436zbMATH Open1540.60068MaRDI QIDQ6554450FDOQ6554450

Authors: Aleksandra Grzesiek, Janusz Gajda, Samudrajit Thapa, Agnieszka Wyłomańska

Publication date: 12 June 2024

Published in: Chaos (Search for Journal in Brave)

Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: hypothesis testing (62M07) Self-similar stochastic processes (60G18)

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