Open AccessThe rate of convergence of the Hurst index estimate for a stochastic differential equation
Author(s) -
Kęstutis Kubilius,
Viktor Skorniakov,
Kostiantyn Ralchenko
Publication year - 2017
Publication title -
nonlinear analysis modelling and control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.734
H-Index - 32
eISSN - 2335-8963
pISSN - 1392-5113
DOI - 10.15388/na.2017.2.9
Subject(s) - hurst exponent , fractional brownian motion , estimator , stochastic differential equation , mathematics , detrended fluctuation analysis , rate of convergence , convergence (economics) , brownian motion , statistics , mathematical analysis , computer science , economics , key (lock) , geometry , computer security , scaling , economic growth
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