Abstract
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.
Citation
Jacques Istas. "Estimating self-similarity through complex variations." Electron. J. Statist. 6 1392 - 1408, 2012. https://doi.org/10.1214/12-EJS717
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