Estimation of the Hurst and the stability indices of a $H$-self-similar stable process

Abstract

In this paper we estimate both the Hurst and the stability indices of a $H$-self-similar stable process. More precisely, let $X$ be a $H$-sssi (self-similar stationary increments) symmetric $\alpha$-stable process. The process $X$ is observed at points $\frac{k}{n}$, $k=0,\ldots,n$. Our estimate is based on $\beta$-negative power variations with $-\frac{1}{2}<\beta<0$. We obtain consistent estimators, with rate of convergence, for several classical $H$-sssi $\alpha$-stable processes (fractional Brownian motion, well-balanced linear fractional stable motion, Takenaka’s process, Lévy motion). Moreover, we obtain asymptotic normality of our estimators for fractional Brownian motion and Lévy motion.