On the convergence rates of Gladyshev’s Hurst index estimator

K. Kubilius; D. Melichov

doi:10.15388/NA.15.4.14316

Articles

K. Kubilius

Vilnius University, Lithuania

D. Melichov

Vilnius Gediminas Technical University, Lithuania

Published 2010-10-25

https://doi.org/10.15388/NA.15.4.14316

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Keywords

fractional Brownian motion
Gladyshev’s Hurst index estimator
convergence rate

How to Cite

Kubilius, K. and Melichov, D. (2010) “On the convergence rates of Gladyshev’s Hurst index estimator”, Nonlinear Analysis: Modelling and Control, 15(4), pp. 445–450. doi:10.15388/NA.15.4.14316.

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Abstract

This paper presents the convergence rates for a modified Gladyshev’s estimator of the Hurst index of the fractional Brownian motion.

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