Finite sample comparison of alternative estimators for fractional Gaussian noise
The fractional Brownian motion (fBm) process is a continuous-time Gaussian process with its increment being the fractional Gaussian noise (fGn). It has enjoyed widespread empirical applications across many fields, from science to economics and finance. The dynamics of fBm and fGn are governed by a f...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2022
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/2635 https://ink.library.smu.edu.sg/context/soe_research/article/3634/viewcontent/fGn_Estimation11.pdf |
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| Institution: | Singapore Management University |
| Language: | English |