Identification of the Hurst Index of a Step Fractional Brownian Motion
Year of publication: |
2000
|
---|---|
Authors: | Benassi, Albert ; Bertrand, Pierre ; Cohen, Serge ; Istas, Jacques |
Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 3.2000, 1, p. 101-111
|
Publisher: |
Springer |
Subject: | change-point detection | Hurst index | Gaussian processes | step fractional Brownian motion | semi-parametric estimation |
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