Hurst estimation for operator scaling random fields

被引：1
|
作者：
Lee, Jeonghwa [1 ]
机构：
[1] Truman State Univ, Dept Stat, Kirksville, MO 63501 USA
来源：
STATISTICS & PROBABILITY LETTERS | 2021年 / 178卷
关键词：
Operator scaling Gaussian random field; Hurst indices; Fractal indices; GAUSSIAN-PROCESSES;
D O I：
10.1016/j.spl.2021.109188
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：
Estimation method for Hurst indices in operator scaling Gaussian random field is developed. The model used in this paper has two Hurst parameters along the two orthogonal directions. The two directions are estimated first, then Hurst indices are estimated along the estimated directions. The performance of estimator is investigated theoretically and empirically. (C) 2021 Elsevier B.V. All rights reserved.
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页数：11
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