Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
DOI10.1080/02331888.2018.1500578zbMath1394.60026OpenAlexW2883280225WikidataQ58045568 ScholiaQ58045568MaRDI QIDQ4580032
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Publication date: 13 August 2018
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331888.2018.1500578
central limit theoremHurst parameterhigh frequency datamicrostructure noiserealized threshold multipower variation
Nonparametric estimation (62G05) Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52) Functional limit theorems; invariance principles (60F17)
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Cites Work
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