Estimating the Hurst parameter - SMS
Article Dans Une Revue Statistical Inference for Stochastic Processes Année : 2007

Estimating the Hurst parameter

Résumé

Let {bH(t),t∈R} be a fractional Brownian motion with parameter 0 < H < 1. We are interested in the estimation of this parameter. To achieve this goal, we consider certain functionals of the second order increments of b H (·), using variation technics. Based on an almost-sure convergence theorem for general functionals, we single out particular functionals that allows to construct certain regression models for the parameter H. We show that this regression based estimator for H is asymptotically unbiased, consistent and that it satisfies a Central Limit Theorem.
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Dates et versions

hal-00317829 , version 1 (18-01-2019)

Identifiants

Citer

Corinne Berzin, José R. León. Estimating the Hurst parameter. Statistical Inference for Stochastic Processes, 2007, 10 (1), pp.49-73. ⟨10.1007/s11203-005-0059-6⟩. ⟨hal-00317829⟩
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