Variations and Hurst index estimation for a Rosenblatt process using longer filters

16 December 2009

Papers citing "Variations and Hurst index estimation for a Rosenblatt process using longer filters"

5 / 5 papers shown

Title
$Discrete-time inference for slow-fast systems driven by fractional Brownian motion$ Discrete-time inference for slow-fast systems driven by fractional Brownian motion S. Bourguin S. Gailus K. Spiliopoulos 53 6 0 22 Jul 2020
$Generalized $k$-variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus$ Generalized $k$ -variations and Hurst parameter estimation for the fractional wave equation via Malliavin calculus Radomyra Shevchenko Meryem Slaoui C. Tudor 26 7 0 06 Mar 2019
Statistical inference for Vasicek-type model driven by Hermite processes I. Nourdin T. T. Diu Tran 22 42 0 16 Dec 2017
Parameter Estimation of Gaussian Stationary Processes using the Generalized Method of Moments L. Barboza Frederi G. Viens 45 20 0 21 Apr 2016
A wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter Jean‐Marc Bardet C. Tudor 151 65 0 17 Nov 2008