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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.PR2016
On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
Kestutis Kubilius, Dmitrij Melichov
We study some estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process and prove that they are strongly consistent and most of them…