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- W2070474233 abstract "We estimate the Hurst parameter H of a fractional Brownian motion from discrete noisy data observed along a high frequency sampling scheme. The presence of systematic experimental noise makes recovery of H more difficult since relevant information is mostly contained in the high frequencies of the signal. We quantify the difficulty of the statistical problem in a min-max sense: we prove that the rate n−1/(4H+2) is optimal for estimating H and propose rate optimal estimators based on adaptive estimation of quadratic functionals." @default.
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- W2070474233 date "2007-10-01" @default.
- W2070474233 modified "2023-10-13" @default.
- W2070474233 title "Estimation of the Hurst parameter from discrete noisy data" @default.
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