| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5129788 | Statistics & Probability Letters | 2017 | 5 Pages |
Abstract
We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajectory.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
K. Kubilius, V. Skorniakov,