Asymptotic expansion of an estimator for the Hurst coefficient

DOI10.1007/s11203-023-09298-8arXiv2209.02919OpenAlexW4387019193MaRDI QIDQ6155087

Hayate Yamagishi, Yuliya S. Mishura, Nakahiro Yoshida

Publication date: 16 February 2024

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.02919

zbMATH Keywords

asymptotic expansionfractional Brownian motionMalliavin calculuscentral limit theoremEdgeworth expansionHurst coefficient

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

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