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    INFORMATICALT
    2011
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    On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractiona
    13 years 5 months ago
    On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractiona
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    This paper presents a study of the Hurst index estimation in the case of fractional Ornstein–Uhlenbeck and geometric Brownian motion models. The performance of the estimators is ...
    Kestutis Kubilius, Dmitrij Melichov
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