Preprints, Working Papers, ... Year : 2011

Estimation of the Hurst parameter in some fractional processes

Abstract

We propose to estimate the Hurst parameter involved in fractional processes via a method based on the Karhunen-Loève expansion of Gaussian process. We specifically investigate the cases of the fractional Brownian motion(fBm), the fractional Ornstein-Uhlenbeck(fOU) family and the fractional Brownian bridge(fBb). We numerically compare our results with the ones obtained by the maximum likelihood method, which show the validity of our proposal.

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hal-00626693 , version 1 (26-09-2011)

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  • HAL Id : hal-00626693 , version 1

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Luis Armando Salomon, Jean-Claude Fort. Estimation of the Hurst parameter in some fractional processes. 2011. ⟨hal-00626693⟩
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