Parameter estimation of selfsimilarity exponents
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- 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.
- Becker-Kern, Peter, 2004. "Random integral representation of operator-semi-self-similar processes with independent increments," Stochastic Processes and their Applications, Elsevier, vol. 109(2), pages 327-344, February.
- 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.
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Cited by:
- Abry, Patrice & Didier, Gustavo, 2018. "Wavelet eigenvalue regression for n-variate operator fractional Brownian motion," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 75-104.
- Gustavo Didier & Vladas Pipiras, 2012. "Exponents, Symmetry Groups and Classification of Operator Fractional Brownian Motions," Journal of Theoretical Probability, Springer, vol. 25(2), pages 353-395, June.
- Patrice Abry & Gustavo Didier & Hui Li, 2019. "Two-step wavelet-based estimation for Gaussian mixed fractional processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 157-185, July.
- Patrice Abry & B. Cooper Boniece & Gustavo Didier & Herwig Wendt, 2023. "Wavelet eigenvalue regression in high dimensions," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 1-32, April.
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Keywords
Operator semi-selfsimilar process Ornstein-Uhlenbeck type process Parameter estimation Selfsimilarity exponent Spectral decomposition;Statistics
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