Consistent estimation of the Hurst parameter of tne Fractional Brownian Motion by observations with errors is found
International audienceWe estimate the Hurst parameter H of a fractional Brownian motion from discret...
The aim of this thesis is to provide a characterization of the statistical properties of estimator o...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
International audienceSome real-world phenomena in geo-science, micro-economy, and turbulence, to na...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
We consider the problem of Hurst index estimation for solutions of stochastic differential equations...
Some real-world phenomena in geo-science, micro-economy, and turbulence, to name a few, can be effec...
International audienceThe fractional Brownian motion which has been defined by Kolmogorov \cite{k40}...
International audienceLet {bH(t),t∈R} be a fractional Brownian motion with parameter 0 < H < 1...
<p>Along with estimates for the simulated time series (blue), estimates for the time series integral...
In my talk I will discuss so-called “mixed ” models involving fractional Brownian motion and Wiener ...
International audienceIn this paper, we show how concentration inequalities for Gaussian quadratic f...
We consider an estimator of the Hurst parameter of stochastic differential equation with respect to ...
This paper deals with the problem of estimating the parameters for fractional diffusion process from...
change-point detection, Hurst index, Gaussian processes, step fractional Brownian motion, semi-param...
International audienceWe estimate the Hurst parameter H of a fractional Brownian motion from discret...
The aim of this thesis is to provide a characterization of the statistical properties of estimator o...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
International audienceSome real-world phenomena in geo-science, micro-economy, and turbulence, to na...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
We consider the problem of Hurst index estimation for solutions of stochastic differential equations...
Some real-world phenomena in geo-science, micro-economy, and turbulence, to name a few, can be effec...
International audienceThe fractional Brownian motion which has been defined by Kolmogorov \cite{k40}...
International audienceLet {bH(t),t∈R} be a fractional Brownian motion with parameter 0 < H < 1...
<p>Along with estimates for the simulated time series (blue), estimates for the time series integral...
In my talk I will discuss so-called “mixed ” models involving fractional Brownian motion and Wiener ...
International audienceIn this paper, we show how concentration inequalities for Gaussian quadratic f...
We consider an estimator of the Hurst parameter of stochastic differential equation with respect to ...
This paper deals with the problem of estimating the parameters for fractional diffusion process from...
change-point detection, Hurst index, Gaussian processes, step fractional Brownian motion, semi-param...
International audienceWe estimate the Hurst parameter H of a fractional Brownian motion from discret...
The aim of this thesis is to provide a characterization of the statistical properties of estimator o...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
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