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arXiv · 1506.05593

Estimation of the Hurst and the stability indices of a $H$-self-similar stable process

Thi To Nhu Dang·Jacques Istas
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Abstract

In this paper we estimate both the Hurst and the stable indices of a H-self-similar stable process. More precisely, let $X$ be a $H$-sssi (self-similar stationary increments) symmetric $α$-stable process. The process $X$ is observed at points $\frac{k}{n}$, $k=0,\ldots,n$. Our estimate is based on $β$-variations with $-\frac{1}{2}<β<0$. We obtain consistent estimators, with rate of convergence, for several classical $H$-sssi $α$-stable processes (fractional Brownian motion, well-balanced linear fractional stable motion, Takenaka's processes, Lévy motion). Moreover, we obtain asymptotic normality of our estimators for fractional Brownian motion and Lévy motion. Keywords: H-sssi processes; stable processes; self-similarity parameter estimator; stability parameter estimator.

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Thi To Nhu Dang, Jacques Istas. 2017-10-18. Estimation of the Hurst and the stability indices of a $H$-self-similar stable process. https://arxiv.org/abs/1506.05593

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