Method for estimating the Hurst exponent of fractional Brownian motion

DOI10.1134/S1064562419060188zbMath1442.62048OpenAlexW3010725710MaRDI QIDQ2191324

A. V. Savitskii

Publication date: 24 June 2020

Published in: Doklady Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s1064562419060188

zbMATH Keywords

fractional Brownian motionpoint estimation of the Hurst exponent

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10)

Related Items (1)

Estimating the Hölder exponents based on the \(\epsilon \)-complexity of continuous functions: an experimental analysis of the algorithm

Cites Work

• Non-central limit theorems for non-linear functional of Gaussian fields
• Fractional Brownian Motions, Fractional Noises and Applications
• Unnamed Item

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