Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles
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Publication:930662
DOI10.1214/009053607000000587zbMath1157.60034arXivmath/0506290OpenAlexW1966137839MaRDI QIDQ930662
Publication date: 1 July 2008
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0506290
fractional Brownian motionBahadur representation of sample quantilesHurst exponent estimationlocally self-similar Gaussian process
Order statistics; empirical distribution functions (62G30) Self-similar stochastic processes (60G18)
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Uses Software
Cites Work
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