1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.PR2016
A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion
Kestutis Kubilius, Viktor Skorniakov
We propose some class of statistics suitable for estimation of the Hurst index of the fractional Brownian motion based on the second order increments of an observed discrete trajec…
math.PR2015
Consistency of the drift parameter estimator for the discretized fractional Ornstein-Uhlenbeck process with Hurst index
Kestutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko +1
We consider Langevin equation involving fractional Brownian motion with Hurst index . Its solution is the fractional Ornstein-Uhlenbeck process and with unknown dr…
math.PR2015★ 1 cited
Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift
Kestutis Kubilius, Viktor Skorniakov, Dmitrij Melichov
Strongly consistent and asymptotically normal estimators of the Hurst index and volatility parameters of solutions of stochastic differential equations with polynomial drift are pr…