A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion

2016/07/27 by Kubilius, Kestutis, Skorniakov, Viktor
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1607.08202

Abstract

We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajectory.

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