Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size-Reference-Cited by-同舟云学术

Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size

Published:2011-12-22 Issue:1 Volume:15 Page:1-26
ISSN:1387-0874
Container-title:Statistical Inference for Stochastic Processes
language:en
Short-container-title:Stat Inference Stoch Process

Author:

Breton Jean-Christophe,Coeurjolly Jean-François

Publisher

Springer Science and Business Media LLC

Subject

Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s11203-011-9061-3.pdf

Reference19 articles.

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3. Beran J (1994) Statistics for long-memory processes. Chapman & Hall/CRC, London

4. Breton J-C, Nourdin I, Peccati G (2009) Exact confidence intervals for the Hurst parameter of a fractional Brownian motion. Electron J Stat 3: 416–425

5. Coeurjolly J-F (2000) Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study. J Stat Softw 5(7): 1–53

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