Parameter estimation of selfsimilarity exponents
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References listed on IDEAS
- Maejima, Makoto & Sato, Ken-iti & Watanabe, Toshiro, 2000. "Distributions of selfsimilar and semi-selfsimilar processes with independent increments," Statistics & Probability Letters, Elsevier, vol. 47(4), pages 395-401, May.
- Yamazato, Makoto, 1983. "Absolute continuity of operator-self-decomposable distributions on Rd," Journal of Multivariate Analysis, Elsevier, vol. 13(4), pages 550-560, December.
- Jeanblanc, M. & Pitman, J. & Yor, M., 0. "Self-similar processes with independent increments associated with Lévy and Bessel processes," Stochastic Processes and their Applications, Elsevier, vol. 100(1-2), pages 223-231, July.
- Meerschaert, Mark M. & Scheffler, Hans-Peter, 1999. "Moment Estimator for Random Vectors with Heavy Tails," Journal of Multivariate Analysis, Elsevier, vol. 71(1), pages 145-159, October.
- Wolfe, Stephen James, 1983. "Continuity properties of decomposable probability measures on euclidean spaces," Journal of Multivariate Analysis, Elsevier, vol. 13(4), pages 534-538, December.
More about this item
KeywordsOperator semi-selfsimilar process Ornstein-Uhlenbeck type process Parameter estimation Selfsimilarity exponent Spectral decomposition;
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