Baxter estimates of the Hurst parameter of fractional Brownian motion

DOI10.17721/1812-5409.2019/3.2zbMath1463.60059OpenAlexW3080407079MaRDI QIDQ5135986

A. O. Pashko, O. O. Synyavska

Publication date: 24 November 2020

Published in: Bulletin of Taras Shevchenko National University of Kyiv. Series: Physics and Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.17721/1812-5409.2019/3.2

zbMATH Keywords

fractional Brownian motionconsistent estimateHurst index

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25) Fractional processes, including fractional Brownian motion (60G22) Self-similar stochastic processes (60G18)

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