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

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  • Kubilius, K.
  • Skorniakov, V.

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.

Suggested Citation

  • Kubilius, K. & Skorniakov, V., 2017. "A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion," Statistics & Probability Letters, Elsevier, vol. 121(C), pages 78-82.
    • Handle: RePEc:eee:stapro:v:121:y:2017:i:c:p:78-82
    DOI: 10.1016/j.spl.2016.10.005
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    References listed on IDEAS

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    1. Jean-Christophe Breton & Jean-François Coeurjolly, 2012. "Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size," Statistical Inference for Stochastic Processes, Springer, vol. 15(1), pages 1-26, April.
    2. Jean-François Coeurjolly, 2001. "Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths," Statistical Inference for Stochastic Processes, Springer, vol. 4(2), pages 199-227, May.
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