@inproceedings{75e9007c877f4c6b83e509d82a04491c,
title = "Self-similarity/memory-length parameter estimation for non-gaussian hermite processes via chaos expansion",
abstract = "We study the behavior of Hermite processes of order q with self-similarity index $H\in (\frac{1}{2}, 1)$. Using Wiener-It{\^o} multiple stochastic integrals and Malliavin calculus we develop a class of consistent estimators for the self-similarity index based on the asymptotic behavior of the filtered process.",
keywords = "Hermite process, Hurst index estimation, Malliavin calculus, Wiener chaos expansion",
author = "A. Chronopoulou",
year = "2009",
doi = "10.1142/9789814271349_0009",
language = "English (US)",
isbn = "9814271330",
series = "Topics on Chaotic Systems - Selected Papers from CHAOS 2008 International Conference",
publisher = "World Scientific Publishing Co. Pte Ltd",
pages = "79--86",
booktitle = "Topics on Chaotic Systems - Selected Papers from CHAOS 2008 International Conference",
address = "Singapore",
note = "International Conference on Chaotic Modeling, Simulation and Applications, CHAOS 2008 ; Conference date: 03-06-2008 Through 06-06-2008",
}