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

被引：3

作者：

Kubilius, K. ^{[1
]}

Skorniakov, V. ^{[1
,2
]}

机构：

[1] Vilnius Univ, Inst Math & Informat, Akad 4, LT-08663 Vilnius, Lithuania

[2] Vilnius Univ, Fac Math & Informat, Naugarduko 24, LT-03225 Vilnius, Lithuania

来源：

STATISTICS & PROBABILITY LETTERS | 2017年 / 121卷

关键词：

Fractional Brownian motion; Hurst index; Consistent estimator; Central limit theorem;

D O I：

10.1016/j.spl.2016.10.005

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：78 / 82

页数：5