Estimation of Scale and Hurst Parameters of Semi-Selfsimilar Processes

Saeid Rezakhah (1) , Anne Philippe (2) , Navideh Modaresi (3)

1 Faculty of Mathematics and Computer Science,
2 LMJL - Laboratoire de Mathématiques Jean Leray
3 Institute of Research in Fundamental Sciences

We present some iterative method for estimation of the scale and Hurst parameters which is addressed for semi-selfsimilar processes with stationary increments. This method is based on some flexible sampling scheme and evaluating sam- ple variance of increments in each scale intervals [λn−1,λn), n ∈ N. For such iterative method we find the initial estimation for the scale parameter by evaluating cumulative sum of moving sample variances and also by evaluating sample variance of preceding and succeeding moving sample variance of increments. We also present a new efficient method for estimation of Hurst parameter of selfsimilar processes

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Saeid Rezakhah, Anne Philippe, Navideh Modaresi. Estimation of Scale and Hurst Parameters of Semi-Selfsimilar Processes. 2012. ⟨hal-00718698⟩