A new estimator of the self-similarity exponent through the empirical likelihood ratio test

DOI10.1080/00949655.2020.1758699OpenAlexW3023284000MaRDI QIDQ5036837

Qiushi Li, Sergio Bianchi

Publication date: 23 February 2022

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2020.1758699

zbMATH Keywords

fractional Brownian motionself-similarityempirical likelihood ratiodistribution-based test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Fractional processes, including fractional Brownian motion (60G22) Statistics (62-XX) Self-similar stochastic processes (60G18)

Related Items (1)

A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework

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