Estimation of the Hurst parameter of some self-similar symmetric stable processes with stationary increments

被引：3

作者：

Dury, ME ^{[1
]}

机构：

[1] Univ Clermont Ferrand, Lab Math Appl, F-63177 Aubiere, France

来源：

COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 2001年 / 333卷 / 01期

关键词：

D O I：

10.1016/S0764-4442(01)01952-8

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We estimate the Hurst parameter of symmetric a-stable (1 < alpha < 2) with stationary increments, self-similar processes, using p-variations. The result is obtained for two classes of such processes, both for the moving average and for the harmonizable stable process. (C) 2001 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.

引用

页码：45 / 48

页数：4

共 50 条

[1] Maxima of long memory stationary symmetric α-stable processes, and self-similar processes with stationary max-increments
Owada, Takashi
Samorodnitsky, Gennady
[J]. BERNOULLI, 2015, 21 (03) : 1575 - 1599
[2] 2 CLASSES OF SELF-SIMILAR STABLE PROCESSES WITH STATIONARY INCREMENTS
CAMBANIS, S
MAEJIMA, M
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1989, 32 (02) : 305 - 329
[3] A class of asymptotically self-similar stable processes with stationary increments
Can, Sami Umut
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2014, 124 (12) : 3986 - 4011
[4] Characterization of Self-Similar Processes with Stationary Increments
A. V. Savitskii
[J]. Moscow University Mathematics Bulletin, 2021, 76 : 37 - 40
[5] Characterization of Self-Similar Processes with Stationary Increments
Savitskii, A. V.
[J]. MOSCOW UNIVERSITY MATHEMATICS BULLETIN, 2021, 76 (01) : 37 - 40
[6] A REMARK ON SELF-SIMILAR PROCESSES WITH STATIONARY INCREMENTS
MAEJIMA, M
[J]. CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 1986, 14 (01): : 81 - 82
[7] MARGINAL DISTRIBUTIONS OF SELF-SIMILAR PROCESSES WITH STATIONARY INCREMENTS
OBRIEN, GL
VERVAAT, W
[J]. ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1983, 64 (01): : 129 - 138
[8] Discrete approximation of a stable self-similar stationary increments process
Dombry, C.
Guillotin-Plantard, N.
[J]. BERNOULLI, 2009, 15 (01) : 195 - 222
[9] SELF-SIMILAR PROCESSES WITH STATIONARY INCREMENTS GENERATED BY POINT-PROCESSES
OBRIEN, GL
VERVAAT, W
[J]. ANNALS OF PROBABILITY, 1985, 13 (01): : 28 - 52
[10] SAMPLE PATH VARIATION OF SELF-SIMILAR PROCESSES WITH STATIONARY INCREMENTS
VERVAAT, W
[J]. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 1984, 17 (01) : 28 - 28

← 1 2 3 4 5 →