Identification of the Hurst index of a step fractional Brownian motion
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Publication:5933671
DOI10.1023/A:1009997729317zbMath0982.60081OpenAlexW1493595224MaRDI QIDQ5933671
Serge Cohen, Pierre R. Bertrand, Albert Benassi, Jacques Istas
Publication date: 25 March 2002
Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1009997729317
Gaussian processes (60G15) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Brownian motion (60J65) Self-similar stochastic processes (60G18)
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