Semi-parametric estimation of the Hölder exponent of a stationary Gaussian process with minimax rates
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Publication:1857367
DOI10.1023/A:1012227325436zbMath1008.62081OpenAlexW1561911018MaRDI QIDQ1857367
Publication date: 24 March 2003
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1012227325436
fractional Brownian motionfractal dimensionHölder exponentsemi-parametric modelsdiscrete variationsAdler processminimax optimal rate estimation
Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05)
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