On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion

K. Kubilius and V. Skorniakov

Statistics & Probability Letters, 2016, vol. 109, issue C, 159-167

Abstract: Strongly consistent and asymptotically normal estimators of the Hurst parameter of solutions of stochastic differential equations are proposed. The estimators are based on discrete observations of the underlying processes.

Keywords: Fractional Brownian motion; Stochastic differential equation; Hurst index (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2015.11.013

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