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Estimates of Hurst parameter
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First- and second-order quadratic variations
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Fractional Brownian motion
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Rate of convergence
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Stochastic differential equation
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Kubilius, K.
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Mishura, Y.
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Stochastic Processes and their Applications
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The rate of convergence of Hurst index estimate for the stochastic differential equation
Kubilius, K.
;
Mishura, Y.
- In:
Stochastic Processes and their Applications
122
(
2012
)
11
,
pp. 3718-3739
. The estimates for the Hurst parameter are constructed according to
first
-
and
second-order
quadratic
variations
of …
Persistent link: https://www.econbiz.de/10010580876
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