Electronic Journal of Statistics

Estimating self-similarity through complex variations

Jacques Istas

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We estimate the self-similarity index of a $H$-sssi process through complex variations. The advantage of the complex variations is that they do not require existence of moments and can therefore be used for infinite variance processes.

Article information

Electron. J. Statist., Volume 6 (2012), 1392-1408.

First available in Project Euclid: 31 July 2012

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

Primary: 60G18: Self-similar processes
Secondary: 60G15: Gaussian processes 60G52: Stable processes

Self-similarity complex variations $H$-sssi processes


Istas, Jacques. Estimating self-similarity through complex variations. Electron. J. Statist. 6 (2012), 1392--1408. doi:10.1214/12-EJS717. https://projecteuclid.org/euclid.ejs/1343738543

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