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Expectiles for subordinated Gaussian processes with applications
| Content Provider | Semantic Scholar |
|---|---|
| Author | Coeurjolly, Jean-François Kortas, Hedi |
| Copyright Year | 2017 |
| Abstract | In this paper, we introduce a new class of estimators of the Hurst exponent of the fractional Brownian motion (fBm) process. These estimators are based on sample expectiles of discrete variations of a sample path of the fBm process. In order to derive the statistical properties of the proposed estimators, we establish asymptotic results for sample expectiles of subordinated stationary Gaussian processes with unit variance and correlation function satisfying ρ(i) ∼ κ|i| (κ ∈ R) with α > 0. Via a simulation study, we demonstrate the relevance of the expectile-based estimation method and show that the suggested estimators are more robust to data rounding than their sample quantile-based counterparts. |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | https://hal.archives-ouvertes.fr/hal-00605467/document |
| Language | English |
| Access Restriction | Open |
| Subject Keyword | Brownian motion Gaussian process Hurst exponent Normal Statistical Distribution Relevance Rounding Sample Variance Simulation Stationary process |
| Content Type | Text |
| Resource Type | Article |
