increment ratio statistic
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Local estimation of the Hurst index of multifractional Brownian motion by increment ratio statistic method

ESAIM Probability and Statistics ◽

10.1051/ps/2011154 ◽

2013 ◽

Vol 17 ◽

pp. 307-327 ◽

Cited By ~ 7

Author(s):

Pierre Raphaël Bertrand ◽

Mehdi Fhima ◽

Arnaud Guillin

Keyword(s):

Brownian Motion ◽

Hurst Index ◽

Statistic Method ◽

Multifractional Brownian Motion ◽

Local Estimation ◽

Increment Ratio Statistic ◽

Increment Ratio

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An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2011.09.003 ◽

2012 ◽

Vol 105 (1) ◽

pp. 222-240 ◽

Cited By ~ 1

Author(s):

Jean-Marc Bardet ◽

Béchir Dola

Keyword(s):

Goodness Of Fit ◽

Goodness Of Fit Test ◽

Adaptive Estimator ◽

Increment Ratio Statistic ◽

Memory Parameter ◽

Increment Ratio

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The Increment Ratio statistic under deterministic trends

Lithuanian Mathematical Journal ◽

10.1007/s10986-008-9010-z ◽

2008 ◽

Vol 48 (3) ◽

pp. 256-269 ◽

Cited By ~ 1

Author(s):

K. Bružaitė ◽

M. Vaičiulis

Keyword(s):

Increment Ratio Statistic ◽

Increment Ratio

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The increment ratio statistic

Journal of Multivariate Analysis ◽

10.1016/j.jmva.2007.01.014 ◽

2008 ◽

Vol 99 (3) ◽

pp. 510-541 ◽

Cited By ~ 9

Author(s):

Donatas Surgailis ◽

Gilles Teyssière ◽

Marijus Vaičiulis

Keyword(s):

Increment Ratio Statistic ◽

Increment Ratio

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