On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
arXiv:1301.3329
Abstract
Strongly consistent and asymptotic normal estimators of the Hurst index of a stochastic differential equation driven by a fractional Brownian motion are proposed. The estimators are based on discrete observations of the underlying process.
arXiv commentThis paper has been withdrawn by the authors due to a crucial error in the end of the proof of Theorem 2.2. Under conditions of Theorem 2.2 we can't obtain asymptotic normality
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