Estimating the Hurst parameter
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Publication:882909
DOI10.1007/S11203-005-0059-6zbMATH Open1110.62110OpenAlexW2036846073MaRDI QIDQ882909FDOQ882909
Authors: Corinne Berzin, José R. León 
Publication date: 24 May 2007
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11203-005-0059-6
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Cites Work
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- Broadband log-periodogram regression of time series with long-range dependence
- Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
- Identification of filtered white noises
- Parametric estimation for Gaussian long-range dependent processes based on the log-periodogram
- ESTIMATION OF FRACTAL INDEX AND FRACTAL DIMENSION OF A GAUSSIAN PROCESS BY COUNTING THE NUMBER OF LEVEL CROSSINGS
- Self-intersection gauge for random walks and for Brownian motion
- Almost sure oscillation of certain random processes
- Limiting distributions of nonlinear vector functions of stationary Gaussian processes
Cited In (24)
- Estimation in models driven by fractional Brownian motion
- Estimating the Hurst effect and its application in monitoring clinical trials
- Variance estimation for fractional Brownian motions with fixed Hurst parameters
- Quantitative Breuer-Major theorems
- Title not available (Why is that?)
- Estimation of the Hurst parameter of some self-similar symmetric stable processes with stationary increments
- A criterion for testing hypothesis about the value of the Hurst parameter of fractional Brownian motion.
- Estimation of parameters of the fractional Brownian motion by observations with errors and confidence intervals
- Estimation of the Hurst parameter from discrete noisy data
- Deviation of order \(p\) for estimators of the variance in first-order stochastic differential equation (SDE)
- Variance estimator for fractional diffusions with variance and drift depending on time
- Title not available (Why is that?)
- Estimation and testing of the Hurst parameter using \(p\)-variation
- Interval estimation of the fractional Brownian motion parameter in a model with measurement error
- Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter
- Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
- Title not available (Why is that?)
- Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion
- Convergence in fractional models and applications
- Fast and unbiased estimator of the time-dependent Hurst exponent
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- Bayesian estimation of the Hurst parameter of fractional Brownian motion
- Hurst function estimation
- Estimation of the Hurst parameter in some fractional processes
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