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
收藏
页码：45 / 48
页数：4
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