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math.ST2022★ 4 cited
Estimation of the Hurst parameter from continuous noisy data
P. Chigansky, M. Kleptsyna
This paper addresses the problem of estimating the Hurst exponent of the fractional Brownian motion from continuous time noisy sample. Consistent estimation in the setup under cons…
math.ST2022
Asymptotic accuracy in estimation of a fractional signal in a small white noise
M. Kleptsyna, D. Marushkevych, P. Chigansky
This paper revisits the problem of estimating the fractional Ornstein - Uhlenbeck process observed in a linear channel with white noise of small intensity. We drive the exact asymp…