Asymptotic expansion of an estimator for the Hurst coefficient

2022/09/07 by Yuliya Mishura, Mishura, Yuliya, Hayate Yamagishi +3
Economics, Econometrics and Finance · #FOS: Mathematics #Financial Risk and Volatility Modeling #Probability (math.PR) #Statistics Theory (math.ST) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2209.02919

openalex publication_date 2022/09/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the distribution of Wiener functionals is applied. The effects of the asymptotic expansion are demonstrated by numerical studies.

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