Asymptotic expansion of an estimator for the Hurst coefficient
Statistics Theory
2022-09-08 v1 Probability
Statistics Theory
Abstract
Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the distribution of Wiener functionals is applied. The effects of the asymptotic expansion are demonstrated by numerical studies.
Keywords
Cite
@article{arxiv.2209.02919,
title = {Asymptotic expansion of an estimator for the Hurst coefficient},
author = {Yuliya Mishura and Hayate Yamagishi and Nakahiro Yoshida},
journal= {arXiv preprint arXiv:2209.02919},
year = {2022}
}
Comments
34 pages, 10 figures