most citedOrder estimate of functionals related to fractional Brownian motion and asymptotic expansion of the quadratic variation of fractional stochastic differential equation

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math.ST2022

Asymptotic expansion of an estimator for the Hurst coefficient

Yuliya Mishura, Hayate Yamagishi, Nakahiro Yoshida

Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the di…