Estimation of the Hurst parameter from discrete noisy data
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Publication:2466677
DOI10.1214/009053607000000316zbMath1126.62073arXiv0711.3342OpenAlexW2070474233MaRDI QIDQ2466677
Publication date: 16 January 2008
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0711.3342
noisy datafractional Brownian motionscaling exponenthigh frequency datawavelet methodsadaptive estimation of quadratic functionals
Asymptotic properties of parametric estimators (62F12) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Nonparametric inference (62G99)
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