On estimation of the extended Orey index for Gaussian processes

DOI10.1080/17442508.2014.989527zbMath1337.60053arXiv1301.2883OpenAlexW2049700497MaRDI QIDQ2803998

Kęstutis Kubilius

Publication date: 27 April 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.2883

zbMATH Keywords

fractional Brownian motionGaussian processessecond-order processesHurst indexOrey indexsample path propertiesincremental variance function

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) General second-order stochastic processes (60G12) Sample path properties (60G17)

Related Items (4)

Exact confidence intervals of the extended Orey index for Gaussian processes ⋮ CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index ⋮ On a covariance structure of some subset of self-similar Gaussian processes ⋮ Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift

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• On bifractional Brownian motion
• A New Limit Theorem for Stochastic Processes with Gaussian Increments
• Gaussian sample functions and the Hausdorff dimension of level crossings

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