Identification of the Hurst Index of a Step Fractional Brownian Motion
| Year of publication: |
2000
|
|---|---|
| Authors: | Benassi, Albert ; Bertrand, Pierre ; Cohen, Serge ; Istas, Jacques |
| Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 3.2000, 1, p. 101-111
|
| Publisher: |
Springer |
| Subject: | change-point detection | Hurst index | Gaussian processes | step fractional Brownian motion | semi-parametric estimation |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005184588