Estimation of the Hurst parameter of some self-similar symmetric stable processes with stationary increments

被引：3

作者：

Dury, ME ^{[1
]}

机构：

[1] Univ Clermont Ferrand, Lab Math Appl, F-63177 Aubiere, France

来源：

COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 2001年 / 333卷 / 01期

关键词：

D O I：

10.1016/S0764-4442(01)01952-8

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We estimate the Hurst parameter of symmetric a-stable (1 < alpha < 2) with stationary increments, self-similar processes, using p-variations. The result is obtained for two classes of such processes, both for the moving average and for the harmonizable stable process. (C) 2001 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.

引用

页码：45 / 48

页数：4

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