The asymptotic behavior of the R/S statistic for fractional Brownian motion

This paper provides a proof of the fact that asymptotically the R/S statistic and the self-similarity index of fractional Brownian motion agree in the expectation sense. In particular for fractional Gaussian noise time series, the R/S statistic is an estimator of the self-similarity index H. We also show that two other methods for estimating H yield consistent estimators.

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Year of publication:	2011
Authors:	Li, Wen ; Yu, Cindy ; Carriquiry, Alicia ; Kliemann, Wolfgang
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 1, p. 83-91
Publisher:	Elsevier
Keywords:	Fractional Brownian motion Hurst exponent Self-similarity index

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008868910