Self-similarity/memory-length parameter estimation for non-gaussian hermite processes via chaos expansion

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We study the behavior of Hermite processes of order q with self-similarity index $H\in (\frac{1}{2}, 1)$. Using Wiener-Itô 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.

Original languageEnglish (US)
Title of host publicationTopics on Chaotic Systems - Selected Papers from CHAOS 2008 International Conference
PublisherWorld Scientific Publishing Co. Pte Ltd
Pages79-86
Number of pages8
ISBN (Print)9814271330, 9789814271332
StatePublished - Jan 1 2009
Externally publishedYes
EventInternational Conference on Chaotic Modeling, Simulation and Applications, CHAOS 2008 - Chania, Crete, Greece
Duration: Jun 3 2008Jun 6 2008

Publication series

NameTopics on Chaotic Systems - Selected Papers from CHAOS 2008 International Conference

Other

OtherInternational Conference on Chaotic Modeling, Simulation and Applications, CHAOS 2008
Country/TerritoryGreece
CityChania, Crete
Period6/3/086/6/08

Keywords

  • Hermite process
  • Hurst index estimation
  • Malliavin calculus
  • Wiener chaos expansion

ASJC Scopus subject areas

  • Modeling and Simulation

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