Estimation of Scale and Hurst Parameters of Semi-Selfsimilar Processes

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 $\lambda$ and the Hurst index of such processes is one of the fundamental problem in the literature. We pre...

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Hauptverfasser:	Rezakhah, Saeid, Philippe, Anne, Modarresi, Navideh
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Statistics Theory Statistics - Theory
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