Variance Estimation for Fractional Brownian Motions with Fixed Hurst Parameters

DOI10.1080/03610926.2012.677087zbMath1291.62056OpenAlexW2023815042MaRDI QIDQ5419687

Jean-François Coeurjolly, Brani Vidakovic, Kichun Lee

Publication date: 11 June 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.677087

zbMATH Keywords

fractional Brownian motionHurst exponentvariance estimationturbulence signals

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10)

Related Items (2)

Long memory estimation for complex-valued time series ⋮ A wavelet lifting approach to long-memory estimation

Uses Software

• longmemo

Cites Work

• Unnamed Item
• Unnamed Item
• Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
• Fluctuations of the empirical quantiles of independent Brownian motions
• Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
• Orthonormal bases of compactly supported wavelets
• A wavelet-based joint estimator of the parameters of long-range dependence
• Fractional Brownian Motions, Fractional Noises and Applications
• Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths

This page was built for publication: Variance Estimation for Fractional Brownian Motions with Fixed Hurst Parameters