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Hurst index estimation for self-similar processes with long-memory. (English) Zbl 1196.62112

Duan, Jinqiao (ed.) et al., Recent development in stochastic dynamics and stochastic analysis. Dedicated to Zhi-Yuan Zhang on the occasion of his 75th birthday. Hackensack, NJ: World Scientific (ISBN 978-981-4277-25-9/hbk). Interdisciplinary Mathematical Sciences 8, 91-117 (2010).

MSC:

62M09 Non-Markovian processes: estimation
62F12 Asymptotic properties of parametric estimators
60G18 Self-similar stochastic processes
60H07 Stochastic calculus of variations and the Malliavin calculus
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