A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion

DOI10.1016/j.spl.2016.10.005zbMath1416.60050arXiv1607.08202OpenAlexW2484351161MaRDI QIDQ2520520

V. Skorniakov, Kęstutis Kubilius

Publication date: 15 December 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.08202

zbMATH Keywords

fractional Brownian motioncentral limit theoremconsistent estimatorHurst index

Mathematics Subject Classification ID

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

Related Items (1)

Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood

Cites Work

• Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
• Measuring the roughness of random paths by increment ratios
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Measure Theory and Probability Theory
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

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