32 citations · 35 across the 10 of their papers we have counts for
Showing 2013 · math.PRShow all
2 papers · 2 filters
math.PR2013
On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
K. Kubilius, V. Skorniakov, D. Melichov
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 ar…
math.PR2013★ 2 cited
On estimation of the Orey index for a class of Gaussian processes
Kestutis Kubilius
Orey suggested the definition of some index for Gaussian processes with stationary increments which determines various properties of the sample paths of this process. We give an ex…