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Estimation of Scale and Hurst Parameters of Semi-Selfsimilar Processes
Hurst estimation Discrete self-similarity Fractional Brownian motion Semi-selfsimilar processes Scale parameter.
2012/9/19
The characteristic feature of semi-selfsimilar process is the invariance of its finite dimensional distributions by certain dilation for specific scaling factor. Estimating the scale parameter λand th...
Non-Negative Integer-Valued Semi-Selfsimilar Processes
Semi-selfsimilar process Levy process Semi-stable law integer-valuedprocess auto-regressive time series
2010/4/27
Non-negative integer-valued semi-selfsimilar processes are introduced. Levy
processes in this class are characterized. Its relation to an AR(1) scheme is derived.