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arXiv · 1507.07180

On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion

Kestutis Kubilius·Viktor Skorniakov
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Abstract

Strongly consistent and asymptotically normal estimators of the Hurst parameter of solutions of stochastic differential equations are proposed. The estimators are based on discrete observations of the underlying processes.

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Kestutis Kubilius, Viktor Skorniakov. 2015-07-26. On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion. https://arxiv.org/abs/1507.07180

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