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Article Dans Une Revue Electronic Journal of Statistics Année : 2012

Estimating self-similarity through complex variations

Résumé

We estimate the self-similarity index of a H-sssi process through complex variations. The advantage of the complex variations is that they do not require existence of moments and can therefore be used for infinite variance processes.

Dates et versions

hal-00851604 , version 1 (15-08-2013)

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Citer

Jacques Istas. Estimating self-similarity through complex variations. Electronic Journal of Statistics , 2012, 6, pp.1392-1408. ⟨10.1214/12-EJS717⟩. ⟨hal-00851604⟩
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