The rate of convergence of Hurst index estimate for the stochastic differential equation
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References listed on IDEAS
- Jean-Christophe Breton & Jean-François Coeurjolly, 2012. "Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size," Statistical Inference for Stochastic Processes, Springer, vol. 15(1), pages 1-26, April.
- 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.
- Coeurjolly, Jean-Francois, 2000. "Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 5(i07).
- Benassi, Albert & Cohen, Serge & Istas, Jacques & Jaffard, Stéphane, 1998. "Identification of filtered white noises," Stochastic Processes and their Applications, Elsevier, vol. 75(1), pages 31-49, June.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Annie Tubadji & Vassilis Angelis & Peter Nijkamp, 2016.
"Endogenous intangible resources and their place in the institutional hierarchy,"
Review of Regional Research: Jahrbuch für Regionalwissenschaft,
Springer;Gesellschaft für Regionalforschung (GfR), vol. 36(1), pages 1-28, February.
- Annie Tubadji & Vassilis Angelis & Peter Nijkamp, 2016. "Endogenous intangible resources and their place in the institutional hierarchy," Review of Regional Research: Jahrbuch für Regionalwissenschaft, Springer;Gesellschaft für Regionalforschung (GfR), vol. 36(1), pages 1-28, February.
More about this item
KeywordsFractional Brownian motion; Stochastic differential equation; First- and second-order quadratic variations; Estimates of Hurst parameter; Rate of convergence;
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