Estimation of the Hurst parameter in some fractional processes
| Autor: | Luis A. Salomón, Jean-Claude Fort |
|---|---|
| Rok vydání: | 2013 |
| Předmět: |
Statistics and Probability
Hurst exponent Rescaled range Fractional Brownian motion Applied Mathematics Mathematical analysis Brownian bridge symbols.namesake Mathematics::Probability Modeling and Simulation Detrended fluctuation analysis symbols Statistical physics Hurst parameter estimation Statistics Probability and Uncertainty Gaussian process Mathematics |
| Zdroj: | Journal of Statistical Computation and Simulation. 83:542-554 |
| ISSN: | 1563-5163 0094-9655 |
| Popis: | We propose to estimate the Hurst parameter involved in fractional processes via a method based on the Karhunen–Loeve expansion of a Gaussian process. We specifically investigate the cases of the fractional Brownian motion, the fractional Ornstein–Uhlenbeck family and the fractional Brownian bridge. We numerically compare our results with the ones obtained by the maximum-likelihood method, which show the validity of our proposal. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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