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INFORMATICALT
2011

On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractiona

9 years 6 months ago
On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractiona
This paper presents a study of the Hurst index estimation in the case of fractional Ornstein–Uhlenbeck and geometric Brownian motion models. The performance of the estimators is studied both with respect to the value of the Hurst index and the length of sample paths.
Kestutis Kubilius, Dmitrij Melichov
Added 14 May 2011
Updated 14 May 2011
Type Journal
Year 2011
Where INFORMATICALT
Authors Kestutis Kubilius, Dmitrij Melichov
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