Asymptotic expansion of an estimator for the Hurst coefficient

09/07/2022

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Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the distribution of Wiener functionals is applied. The effects of the asymptotic expansion are demonstrated by numerical studies.

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Asymptotic expansion of an estimator for the Hurst coefficient

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