Estimation of the Hurst parameter from continuous noisy data
From MaRDI portal
Publication:6184880
DOI10.1214/23-ejs2156arXiv2205.11092OpenAlexW4387349917MaRDI QIDQ6184880
Pavel Chigansky, Marina Kleptsyna
Publication date: 5 January 2024
Published in: Electronic Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2205.11092
Asymptotic properties of parametric estimators (62F12) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Mixed Gaussian processes: a filtering approach
- Estimation of spectral exponent parameter of \(1/f\) process in additive white background noise
- Efficient parameter estimation for self-similar processes
- Estimation of the volatility persistence in a discretely observed diffusion model
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Statistical inference for ergodic diffusion processes.
- Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
- Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise
- Asymptotic behavior of mixed power variations and statistical estimation in mixed models
- Asymptotically efficient estimation of a scale parameter in Gaussian time series and closed-form expressions for the Fisher information
- Estimation of the Hurst parameter from discrete noisy data
- Representation of Gaussian processes equivalent to Wiener process
- Estimation and information in stationary time series
- Signal detection in fractional Gaussian noise
- The properties of solutions of weakly singular integral equations
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling
- Spectral asymptotics for a class of integro-differential equations arising in the theory of fractional Gaussian processes
- Fractional Processes as Models in Stochastic Finance
- Long-Range Dependence and Self-Similarity
- Decay of the Fourier Transform
- Radon-Nikodym Derivatives of Gaussian Measures
- Asymptotic Distribution of Eigenvalues of the Kernel in the Kirkwood-Riseman Integral Equation
- Asymptotic properties of least-squares estimates of parameters of the spectrum of a stationary non-deterministic time-series
This page was built for publication: Estimation of the Hurst parameter from continuous noisy data
