Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size
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Bibliographic InfoArticle provided by Springer in its journal Statistical Inference for Stochastic Processes.
Volume (Year): 15 (2012)
Issue (Month): 1 (April)
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Web page: http://www.springerlink.com/link.asp?id=102997
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- Jean-Francois Coeurjolly, . "Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study," Journal of Statistical Software, American Statistical Association, vol. 5(i07).
- Jean-François Coeurjolly, 2001. "Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths," Statistical Inference for Stochastic Processes, Springer, vol. 4(2), pages 199-227, May.
- Faÿ, Gilles & Moulines, Eric & Roueff, François & Taqqu, Murad S., 2009. "Estimators of long-memory: Fourier versus wavelets," Journal of Econometrics, Elsevier, vol. 151(2), pages 159-177, August.
- J. Bardet & G. Lang & E. Moulines & P. Soulier, 2000. "Wavelet Estimator of Long-Range Dependent Processes," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 85-99, January.
- Kubilius, K. & Mishura, Y., 2012. "The rate of convergence of Hurst index estimate for the stochastic differential equation," Stochastic Processes and their Applications, Elsevier, vol. 122(11), pages 3718-3739.
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