Estimation of the Hurst parameter in some fractional processes
نویسندگان
چکیده
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) and the Fractional Ornstein-Uhlenbeck(FOU) Family. The main tool is the analysis of the residuals of a convenient linear regression model. 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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