Expectiles for subordinated Gaussian processes with applications
نویسندگان
چکیده
منابع مشابه
Expectiles for subordinated Gaussian processes with applications
In this paper, we introduce a new class of estimators of the Hurst exponent of the fractional Brownian motion (fBm) process. These estimators are based on sample expectiles of discrete variations of a sample path of the fBm process. In order to derive the statistical properties of the proposed estimators, we establish asymptotic results for sample expectiles of subordinated stationary Gaussian ...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2012
ISSN: 1935-7524
DOI: 10.1214/12-ejs674