{"title":"On estimation of the extended Orey index for Gaussian processes","authors":"K. Kubilius","doi":"10.1080/17442508.2014.989527","DOIUrl":null,"url":null,"abstract":"Orey suggested the definition of an index for a Gaussian process with stationary increments which determines various properties of the sample paths of this process. We provide an extension of the definition of the Orey index towards a second-order stochastic process which may not have stationary increments and estimate the Orey index towards a Gaussian process from discrete observations of its sample paths.","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2015-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"12","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1080/17442508.2014.989527","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 12
Abstract
Orey suggested the definition of an index for a Gaussian process with stationary increments which determines various properties of the sample paths of this process. We provide an extension of the definition of the Orey index towards a second-order stochastic process which may not have stationary increments and estimate the Orey index towards a Gaussian process from discrete observations of its sample paths.
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