Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151329 | Statistics & Probability Letters | 2016 | 9 Pages |
Abstract
Strongly consistent and asymptotically normal estimators of the Hurst parameter of solutions of stochastic differential equations are proposed. The estimators are based on discrete observations of the underlying processes.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
K. Kubilius, V. Skorniakov,