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Reports (Research Report) Year : 1994

A new method for estimating the parameter


We introduce a new estimator of the parameter of a fractional Brownian motion and prove that it is strongly consistent. We also give rates of convergence, asymptotic confidence intervals and tests of fit for this estimator. Simulation experiments show that our methods perform well with respect to other techniques available in the literature.


Other [cs.OH]
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inria-00074279 , version 1 (24-05-2006)


  • HAL Id : inria-00074279 , version 1


Romain François Peltier, Jacques Lévy Véhel. A new method for estimating the parameter. [Research Report] RR-2396, INRIA. 1994. ⟨inria-00074279⟩
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