Theoretical and numerical comparisons of the parameter estimator of the fractional Brownian motion

DOI10.1007/978-3-319-97175-9_6zbMath1420.62089OpenAlexW2899147155MaRDI QIDQ2002197

Jean-Marc Bardet

Publication date: 11 July 2019

Full work available at URL: https://doi.org/10.1007/978-3-319-97175-9_6

zbMATH Keywords

fractional Brownian motionlimit theoremHurst parameterlong memory processparametric estimation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Functional limit theorems; invariance principles (60F17)

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