Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion

DOI10.1111/J.1467-9892.2005.00470.XzbMath1126.62072OpenAlexW2118461677WikidataQ60521664 ScholiaQ60521664MaRDI QIDQ3411051

Murad S. Taqqu, Zhengyuan Zhu

Publication date: 8 December 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00470.x

zbMATH Keywords

asymptotic distributionconsistencymaximum likelihood estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

Asymptotic behavior of the quadratic variation of the sum of two Hermite processes of consecutive orders ⋮ Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme ⋮ Difference based estimators and infill statistics

Cites Work

• Interpolation of spatial data. Some theory for kriging
• Statistics for Spatial Data
• Unnamed Item

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