A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion

Authors :: Kęstutis Kubilius
Viktor Skorniakov
Publication Year :: 2016
Publisher :: arXiv, 2016.
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.<br />Comment: 4 pages

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