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    INFORMATICALT
    2011
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    On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractiona
    12 years 11 months ago
    On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractiona
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    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 ...
    Kestutis Kubilius, Dmitrij Melichov
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