Efficiently Implementing the Maximum Likelihood Estimator for Hurst Exponent
Work
Year: 2014
Type: article
Abstract: This paper aims to efficiently implement the maximum likelihood estimator (MLE) for Hurst exponent, a vital parameter embedded in the process of fractional Brownian motion (FBM) or fractional Gaussian... more
Author Yen-Ching Chang
Cites: 44
Cited by: 13
Related to: 10
FWCI: 2.337
Citation percentile (by year/subfield): 91.18
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: gold
APC paid (est): $2,400