Estimation and testing of the Hurst parameter usingp-variation

DOI10.1088/1751-8113/46/32/325003zbMath1276.60046OpenAlexW1979423620MaRDI QIDQ2847975

Jakub Ślęzak, Marcin Magdziarz, Justyna Wójcik

Publication date: 25 September 2013

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1751-8113/46/32/325003

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22)

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