Add to ORKG14 pages, accepté dans Journal of Statistical Computation & SimulationWe propose to estimate the Hurst parameter involved in fractional processes via a method based on the Karhunen-Loève expansion of Gaussian process. We specifically investigate the cases of the fractional Brownian motion(fBm), the fractional Ornstein-Uhlenbeck(fOU) family and the fractional Brownian bridge(fBb). We numerically compare our results with the ones obtained by the maximum likelihood method, which show the validity of our proposal
Some real-world phenomena in geo-science, micro-economy, and turbulence, to name a few, can be effec...
We present a Gaussian process that arises from the iteration of p fractional Ornstein–Uhlenbeck proc...
We discuss some inference problems associated with the fractional Ornstein-Uhlenbeck (fO-U) process ...
We consider the parameter estimation problem for the non-ergodic fractional Ornstein- Uhlenbeck proc...
International audienceThe use of diffusion models driven by fractional noise has become popular for ...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stoch...
International audienceWe apply the techniques of stochastic integration with respect to the fraction...
International audienceSome real-world phenomena in geo-science, micro-economy, and turbulence, to na...
parameter θ and where the noise is modeled as fractional Brownian motionwith Hurst index H ∈ (0, 12 ...
The article presents the analysis results of the dependence of the accuracy in estimating Hurst expo...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
In this paper, we will evaluate integrals that define the conditional expectation, variance and char...
33 pages, 2 figures.International audienceBased on Malliavin calculus tools and approximation result...
Some real-world phenomena in geo-science, micro-economy, and turbulence, to name a few, can be effec...
We present a Gaussian process that arises from the iteration of p fractional Ornstein–Uhlenbeck proc...
We discuss some inference problems associated with the fractional Ornstein-Uhlenbeck (fO-U) process ...
We consider the parameter estimation problem for the non-ergodic fractional Ornstein- Uhlenbeck proc...
International audienceThe use of diffusion models driven by fractional noise has become popular for ...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stoch...
International audienceWe apply the techniques of stochastic integration with respect to the fraction...
International audienceSome real-world phenomena in geo-science, micro-economy, and turbulence, to na...
parameter θ and where the noise is modeled as fractional Brownian motionwith Hurst index H ∈ (0, 12 ...
The article presents the analysis results of the dependence of the accuracy in estimating Hurst expo...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
In this paper, we will evaluate integrals that define the conditional expectation, variance and char...
33 pages, 2 figures.International audienceBased on Malliavin calculus tools and approximation result...
Some real-world phenomena in geo-science, micro-economy, and turbulence, to name a few, can be effec...
We present a Gaussian process that arises from the iteration of p fractional Ornstein–Uhlenbeck proc...
We discuss some inference problems associated with the fractional Ornstein-Uhlenbeck (fO-U) process ...