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arXiv · 1207.2450

Estimation of Scale and Hurst Parameters of Semi-Selfsimilar Processes

Saeid Rezakhah·Anne Philippe·Navideh Modarresi
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Abstract

The characteristic feature of semi-selfsimilar process is the invariance of its finite dimensional distributions by certain dilation for specific scaling factor. Estimating the scale parameter $λ$ and the Hurst index of such processes is one of the fundamental problem in the literature. We present some iterative method for estimation of the scale and Hurst parameters which is addressed for semi-selfsimilar processes with stationary increments. This method is based on some flexible sampling scheme and evaluating sample variance of increments in each scale intervals $[λ^{n-1}, λ^n)$, $n\in \mathbb{N}$. For such iterative method we find the initial estimation for the scale parameter by evaluating cumulative sum of moving sample variances and also by evaluating sample variance of preceding and succeeding moving sample variance of increments. We also present a new efficient method for estimation of Hurst parameter of selfsimilar processes. As an example we introduce simple fractional Brownian motion (sfBm) which is semi-selfsimilar with stationary increments. We present some simulations and numerical evaluation to illustrate the results and to estimate the scale for sfBm as a semi-selfsimilar process. We also present another simulation and show the efficiency of our method in estimation of Hurst parameter by comparing its performance with some previous methods.

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Saeid Rezakhah, Anne Philippe, Navideh Modarresi. 2012-07-10. Estimation of Scale and Hurst Parameters of Semi-Selfsimilar Processes. https://arxiv.org/abs/1207.2450

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