A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion

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• 作者：K. Kubilius^a ; ^{kestutis.kubilius@mii.vu.lt} ; V. Skorniakov^a ; ^b ; ^{viktor.skorniakov@mif.vu.lt}
• 关键词：Fractional Brownian motion ; Hurst index ; Consistent estimator ; Central limit theorem
• 刊名：Statistics & Probability Letters
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：121
• 期：Complete
• 页码：78-82
• 全文大小：369 K
• 卷排序：121

文摘

We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajectory.