Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151783 | Statistics & Probability Letters | 2015 | 8 Pages |
Abstract
In this paper, we consider the convergence of the estimator of the Hurst parameter HH of a fractional Brownian motion with Hurst parameter H∈(0,1)H∈(0,1). The main goal of our work is to derive an explicit upper bound of Kolmogorov distance in order to find the information about the rate of convergence of the central limit theorems (CLT) for the estimator of the Hurst parameter.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Yoon Tae Kim, Hyun Suk Park,