Hurst estimation for operator scaling random fields

Jeonghwa Lee

Statistics & Probability Letters, 2021, vol. 178, issue C

Abstract: Estimation method for Hurst indices in operator scaling Gaussian random field is developed. The model used in this paper has two Hurst parameters along the two orthogonal directions. The two directions are estimated first, then Hurst indices are estimated along the estimated directions. The performance of estimator is investigated theoretically and empirically.

Keywords: Operator scaling Gaussian random field; Hurst indices; Fractal indices (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.spl.2021.109188

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