Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles

DOI10.1214/009053607000000587zbMATH Open1157.60034arXivmath/0506290OpenAlexW1966137839MaRDI QIDQ930662FDOQ930662

Authors: Jean-François Coeurjolly 

Publication date: 1 July 2008

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: This paper is devoted to the introduction of a new class of consistent estimators of the fractal dimension of locally self-similar Gaussian processes. These estimators are based on convex combinations of sample quantiles of discrete variations of a sample path over a discrete grid of the interval $[0,1]$. We derive the almost sure convergence and the asymptotic normality for these estimators. The key-ingredient is a Bahadur representation for sample quantiles of non-linear functions of Gaussians sequences with correlation function decreasing as $k^{-alpha}L(k)$ for some $alpha>0$ and some slowly varying function $L(cdot)$.

Full work available at URL: https://arxiv.org/abs/math/0506290

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zbMATH Keywords

fractional Brownian motionBahadur representation of sample quantilesHurst exponent estimationlocally self-similar Gaussian process

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Self-similar stochastic processes (60G18)

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Cited In (30)

• Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process
• Identification of a locally self-similar Gaussian process by using convex rearrangements
• Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
• Measuring the roughness of random paths by increment ratios
• Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
• Hurst exponent estimation of self-affine time series using quantile graphs
• Joint asymptotics for estimating the fractal indices of bivariate Gaussian processes
• Quantitative Breuer-Major theorems
• A wavelet characterization for the upper global Hölder index
• Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets
• Hurst estimation for operator scaling random fields
• Pathwise least-squares estimator for linear SPDEs with additive fractional noise
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
• Expectiles for subordinated Gaussian processes with applications
• A space-consistent version of the minimum-contrast estimator for linear stochastic evolution equations
• Goodness of fit assessment for a fractal model of stock markets
• Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise
• Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
• Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
• Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context
• Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility
• Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles
• Fast and unbiased estimator of the time-dependent Hurst exponent
• Estimators of fractal dimension: assessing the roughness of time series and spatial data
• Forecasting of time data with using fractional Brownian motion
• On a covariance structure of some subset of self-similar Gaussian processes
• Fractals with point impact in functional linear regression
• Statistical test for fractional Brownian motion based on detrending moving average algorithm
• On Hölder fields clustering
• Variance Estimation for Fractional Brownian Motions with Fixed Hurst Parameters

Uses Software

• LASS
• SimEstFBM

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