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Journal articles
Estimation of the Hurst parameter from discrete noisy data
Abstract : We estimate the Hurst parameter H of a fractional Brownian motion from discrete noisy data observed along a high frequency sampling scheme. The presence of systematic experimental noise makes recovery of H more difficult since relevant information is mostly contained in the high frequencies of the signal. We quantify the difficulty of the statistical problem in a min-max sense: we prove that the rate n(-1/(4H+2)) is optimal for estimating H and propose rate optimal estimators based on adaptive estimation of quadratic functionals.
https://hal-upec-upem.archives-ouvertes.fr/hal-00693086
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Submitted on : Tuesday, May 1, 2012 - 8:04:13 PM
Last modification on : Tuesday, October 19, 2021 - 4:07:07 PM
Contributor : Admin Lama Connect in order to contact the contributor
Submitted on : Tuesday, May 1, 2012 - 8:04:13 PM
Last modification on : Tuesday, October 19, 2021 - 4:07:07 PM
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