58 citations · 140 across the 27 of their papers we have counts for
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math.ST2011
Expectiles for subordinated Gaussian processes with applications
Jean-François Coeurjolly, Hedi Kortas
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 disc…
math.ST2011★ 58 cited
Identification of the Multivariate Fractional Brownian Motion
Pierre-Olivier Amblard, Jean-François Coeurjolly
This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case.…