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article · Journal of Statistical Computation and Simulation · 2011

Estimation of the Hurst parameter in some fractional processes

Luis A. Salomón, Jean‐Claude Fort

Cited by 5Abstract and details only

Abstract

Abstract We propose to estimate the Hurst parameter involved in fractional processes via a method based on the Karhunen–Loève 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. Keywords: Karhunen–Loève expansionfractional Gaussian processHurst parameter estimation AMS Subject Classification : 60G2262F1060G1562M0562M15

Cite this paper

APA 7

Salomón, L. A., & Fort, J. (2011). Estimation of the Hurst parameter in some fractional processes. Journal of Statistical Computation and Simulation, 83(3), 542–554. https://doi.org/10.1080/00949655.2011.624098

MLA 9

Salomón, Luis A., and Jean‐Claude Fort. “Estimation of the Hurst parameter in some fractional processes.” Journal of Statistical Computation and Simulation, vol. 83, no. 3, 2011, pp. 542–54, https://doi.org/10.1080/00949655.2011.624098.

Chicago

Salomón, Luis A., and Jean‐Claude Fort. 2011. “Estimation of the Hurst parameter in some fractional processes.” Journal of Statistical Computation and Simulation 83 (3): 542–54. https://doi.org/10.1080/00949655.2011.624098.

Harvard

Salomón, L.A. and Fort, J. (2011) ‘Estimation of the Hurst parameter in some fractional processes’, Journal of Statistical Computation and Simulation, 83(3), pp. 542–554. Available at: https://doi.org/10.1080/00949655.2011.624098.

BibTeX
@article{salomon2011estimation,
  title = {{Estimation of the Hurst parameter in some fractional processes}},
  author = {Salomón, Luis A. and Fort, Jean‐Claude},
  journal = {Journal of Statistical Computation and Simulation},
  volume = {83},
  number = {3},
  pages = {542--554},
  year = {2011},
  doi = {10.1080/00949655.2011.624098}
}

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