Estimation of the Hurst and the stability indices of a \(H\)-self-similar stable process

DOI10.1214/17-EJS1357zbMath1459.62163arXiv1506.05593OpenAlexW2963560297MaRDI QIDQ1676781

Thi To Nhu Dang, Jacques Istas

Publication date: 10 November 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1506.05593

zbMATH Keywords

stable processes\(H\)-sssi (self-similar stationary increments) processesself-similarity parameter estimatorstability parameter estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Asymptotic distribution theory in statistics (62E20) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

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