Fast and unbiased estimator of the time-dependent Hurst exponent
Author:
Affiliation:
1. Department of Economics and Law, University of Cassino and Southern Lazio, 03043 Cassino, Italy
2. Department Finance and Risk Engineering, Tandon School of Engineering, New York University, New York City, New York 11201, USA
Publisher
AIP Publishing
Subject
Applied Mathematics,General Physics and Astronomy,Mathematical Physics,Statistical and Nonlinear Physics
Link
http://aip.scitation.org/doi/pdf/10.1063/1.5025318
Reference39 articles.
1. R. Péltier and J. Lévy Véhel ,A New Method for Estimating the Parameter of Fractional Brownian Motion( INRIA, 1994), pp. 1–27.
2. Quadratic variations and estimation of the local Hölder index of a Gaussian process
3. Elliptic gaussian random processes
4. Estimation of the Hurst parameter from discrete noisy data
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