Optimal estimation of the rough Hurst parameter in additive noise
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Publication:6123285
DOI10.1016/j.spa.2024.104302arXiv2205.13035WikidataQ129618517 ScholiaQ129618517MaRDI QIDQ6123285
Publication date: 4 March 2024
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.13035
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)
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