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Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths

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  • Jean-François Coeurjolly

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  • 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.
    • Handle: RePEc:spr:sistpr:v:4:y:2001:i:2:p:199-227
    DOI: 10.1023/A:1017507306245
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    References listed on IDEAS

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    1. John‐Michel Poggi & Marie‐Claude Viano, 1998. "An Estimate of the Fractal Index Using Multiscale Aggregates," Journal of Time Series Analysis, Wiley Blackwell, vol. 19(2), pages 221-233, March.
    2. Coeurjolly, Jean-Francois, 2000. "Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 5(i07).
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