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arXiv · 1607.08202

A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion

Kestutis Kubilius·Viktor Skorniakov
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Abstract

We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajectory.

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Kestutis Kubilius, Viktor Skorniakov. 2016-07-27. A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion. https://arxiv.org/abs/1607.08202

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