Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics
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Publication:6554450
DOI10.1063/5.0201436zbMath1540.60068MaRDI QIDQ6554450
Janusz Gajda, Agnieszka Wyłomańska, Aleksandra Grzesiek, Samudrajit Thapa
Publication date: 12 June 2024
Published in: Chaos (Search for Journal in Brave)
Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Self-similar stochastic processes (60G18) Non-Markovian processes: hypothesis testing (62M07)
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