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Estimation of Hurst exponents in a stationary framework
[Estimation d'exposants de Hurst dans un cadre stationnaire]

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  • Matthieu Garcin

    (Research Center - Léonard de Vinci Pôle Universitaire - De Vinci Research Center)

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  • Matthieu Garcin, 2019. "Estimation of Hurst exponents in a stationary framework [Estimation d'exposants de Hurst dans un cadre stationnaire]," Post-Print hal-02163662, HAL.
    • Handle: RePEc:hal:journl:hal-02163662
    Note: View the original document on HAL open archive server: https://hal.science/hal-02163662
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    References listed on IDEAS

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    1. Myoungji Lee & Marc G. Genton & Mikyoung Jun, 2016. "Testing Self-Similarity Through Lamperti Transformations," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 21(3), pages 426-447, September.
    2. Garcin, Matthieu, 2017. "Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 462-479.
    3. Matthieu Garcin & Dominique Guegan, 2016. "Wavelet shrinkage of a noisy dynamical system with non-linear noise impact," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01397328, HAL.
    4. Hu, Yaozhong & Nualart, David, 2010. "Parameter estimation for fractional Ornstein-Uhlenbeck processes," Statistics & Probability Letters, Elsevier, vol. 80(11-12), pages 1030-1038, June.
    5. Matthieu Garcin & Dominique Guégan, 2016. "Wavelet shrinkage of a noisy dynamical system with non-linear noise impact," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01310475, HAL.
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