Pages that link to "Item:Q5952141"
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The following pages link to Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths (Q5952141):
Displaying 50 items.
- Discretization of continuous time discrete scale invariant processes: estimation and spectra (Q315677) (← links)
- Exact confidence intervals of the extended Orey index for Gaussian processes (Q340126) (← links)
- Goodness of fit assessment for a fractal model of stock markets (Q340460) (← links)
- Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the Hurst parameter (Q392762) (← links)
- Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders (Q402492) (← links)
- Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size (Q411542) (← links)
- Measuring the roughness of random paths by increment ratios (Q453302) (← links)
- The rate of convergence of Hurst index estimate for the stochastic differential equation (Q454862) (← links)
- Assessing relative volatility/ intermittency/energy dissipation (Q470490) (← links)
- Identification of nonstandard multifractional Brownian motions under white noise by multiscale local variations of its sample paths (Q474129) (← links)
- Parameter estimation based on discrete observations of fractional Ornstein-Uhlenbeck process of the second kind (Q500864) (← links)
- A wavelet characterization for the upper global Hölder index (Q692623) (← links)
- The tenth Vilnius conference on probability theory and mathematical statistics. II (Q717820) (← links)
- Hurst index estimation in stochastic differential equations driven by fractional Brownian motion (Q785416) (← links)
- Identification of multifractional Brownian motion (Q850716) (← links)
- Estimating the Hurst parameter (Q882909) (← links)
- Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion (Q894595) (← links)
- Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles (Q930662) (← links)
- Estimation of the volatility persistence in a discretely observed diffusion model (Q936399) (← links)
- Variations and estimators for self-similarity parameters via Malliavin calculus (Q971934) (← links)
- Application of Malliavin calculus to long-memory parameter estimation for non-Gaussian proc\-esses (Q1022308) (← links)
- Correlation structure, quadratic variations and parameter estimation for the solution to the wave equation with fractional noise (Q1616328) (← links)
- Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets (Q1636954) (← links)
- Forecasting of time data with using fractional Brownian motion (Q1693943) (← links)
- On limit theory for Lévy semi-stationary processes (Q1708996) (← links)
- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion (Q1795571) (← links)
- Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance (Q1929686) (← links)
- On wavelet analysis of the \(n\)th order fractional Brownian motion (Q1934279) (← links)
- Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise (Q1950323) (← links)
- Expectiles for subordinated Gaussian processes with applications (Q1950818) (← links)
- Estimating self-similarity through complex variations (Q1950866) (← links)
- Exact confidence intervals for the Hurst parameter of a fractional Brownian motion (Q1951985) (← links)
- Variations and Hurst index estimation for a Rosenblatt process using longer filters (Q1952030) (← links)
- Total variation estimates in the Breuer-Major theorem (Q2041818) (← links)
- Power variations for fractional type infinitely divisible random fields (Q2042821) (← links)
- Generalized Bernoulli process: simulation, estimation, and application (Q2076955) (← links)
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process (Q2127364) (← links)
- Adaptative design for estimation of parameter of second order differential equation in fractional diffusion system (Q2137624) (← links)
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework (Q2160923) (← links)
- A general drift estimation procedure for stochastic differential equations with additive fractional noise (Q2180056) (← links)
- Statistical tests of heterogeneity for anisotropic multifractional Brownian fields (Q2186643) (← links)
- CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index (Q2197613) (← links)
- Statistical test for fractional Brownian motion based on detrending moving average algorithm (Q2201337) (← links)
- Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package (Q2259080) (← links)
- Statistical inference for Vasicek-type model driven by Hermite processes (Q2274256) (← links)
- Generalized \(k\)-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus (Q2301111) (← links)
- Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion (Q2307406) (← links)
- Two-step wavelet-based estimation for Gaussian mixed fractional processes (Q2316337) (← links)
- Variance estimator for fractional diffusions with variance and drift depending on time (Q2346521) (← links)
- Asymptotic behavior of mixed power variations and statistical estimation in mixed models (Q2350912) (← links)
