On the convergence rates of Gladyshev’s Hurst index estimator
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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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Vol. 15 No. 4 (2010)

On the convergence rates of Gladyshev’s Hurst index estimator

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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