{"title":"连续噪声数据中Hurst参数的估计","authors":"Pavel Chigansky, Marina Kleptsyna","doi":"10.1214/23-ejs2156","DOIUrl":null,"url":null,"abstract":"This paper addresses the problem of estimating the Hurst exponent of the fractional Brownian motion from continuous time noisy sample. When the Hurst parameter is greater than 3∕4, consistent estimation is possible only if either the length of the observation interval increases to infinity or intensity of the noise decreases to zero. The main result is a proof of the Local Asymptotic Normality (LAN) of the model in these two regimes which reveals the optimal minimax estimation rates.","PeriodicalId":49272,"journal":{"name":"Electronic Journal of Statistics","volume":"27 1","pages":"0"},"PeriodicalIF":1.0000,"publicationDate":"2023-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Estimation of the Hurst parameter from continuous noisy data\",\"authors\":\"Pavel Chigansky, Marina Kleptsyna\",\"doi\":\"10.1214/23-ejs2156\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper addresses the problem of estimating the Hurst exponent of the fractional Brownian motion from continuous time noisy sample. When the Hurst parameter is greater than 3∕4, consistent estimation is possible only if either the length of the observation interval increases to infinity or intensity of the noise decreases to zero. The main result is a proof of the Local Asymptotic Normality (LAN) of the model in these two regimes which reveals the optimal minimax estimation rates.\",\"PeriodicalId\":49272,\"journal\":{\"name\":\"Electronic Journal of Statistics\",\"volume\":\"27 1\",\"pages\":\"0\"},\"PeriodicalIF\":1.0000,\"publicationDate\":\"2023-01-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Electronic Journal of Statistics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1214/23-ejs2156\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Electronic Journal of Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1214/23-ejs2156","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
Estimation of the Hurst parameter from continuous noisy data
This paper addresses the problem of estimating the Hurst exponent of the fractional Brownian motion from continuous time noisy sample. When the Hurst parameter is greater than 3∕4, consistent estimation is possible only if either the length of the observation interval increases to infinity or intensity of the noise decreases to zero. The main result is a proof of the Local Asymptotic Normality (LAN) of the model in these two regimes which reveals the optimal minimax estimation rates.
期刊介绍:
The Electronic Journal of Statistics (EJS) publishes research articles and short notes on theoretical, computational and applied statistics. The journal is open access. Articles are refereed and are held to the same standard as articles in other IMS journals. Articles become publicly available shortly after they are accepted.