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Hurst estimation for operator scaling random fields

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  • Lee, Jeonghwa

Abstract

Estimation method for Hurst indices in operator scaling Gaussian random field is developed. The model used in this paper has two Hurst parameters along the two orthogonal directions. The two directions are estimated first, then Hurst indices are estimated along the estimated directions. The performance of estimator is investigated theoretically and empirically.

Suggested Citation

  • Lee, Jeonghwa, 2021. "Hurst estimation for operator scaling random fields," Statistics & Probability Letters, Elsevier, vol. 178(C).
    • Handle: RePEc:eee:stapro:v:178:y:2021:i:c:s0167715221001504
    DOI: 10.1016/j.spl.2021.109188
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    References listed on IDEAS

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    1. Maejima, Makoto & Mason, J. David, 1994. "Operator-self-similar stable processes," Stochastic Processes and their Applications, Elsevier, vol. 54(1), pages 139-163, November.
    2. 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.
    3. Biermé, Hermine & Meerschaert, Mark M. & Scheffler, Hans-Peter, 2007. "Operator scaling stable random fields," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 312-332, March.
    4. Lim, C.Y. & Meerschaert, M.M. & Scheffler, H.-P., 2014. "Parameter estimation for operator scaling random fields," Journal of Multivariate Analysis, Elsevier, vol. 123(C), pages 172-183.
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