Asymptotic expansion of an estimator for the Hurst coefficient

Published 7 Sep 2022 in math.ST, math.PR, and stat.TH | (2209.02919v1)

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.

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