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arXiv · 1301.2883

On estimation of the Orey index for a class of Gaussian processes

Kestutis Kubilius
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Abstract

Orey suggested the definition of some index for Gaussian processes with stationary increments which determines various properties of the sample paths of this process. We give an extension of the definition of the Orey index for a second order stochastic processes which may not have stationary increments and estimate the Orey index for Gaussian process from discrete observations of its sample paths.

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Kestutis Kubilius. 2015-01-27. On estimation of the Orey index for a class of Gaussian processes. https://arxiv.org/abs/1301.2883

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