论文标题
Hurst系数的估计器的渐近扩展
Asymptotic expansion of an estimator for the Hurst coefficient
论文作者
论文摘要
提出了渐近膨胀，以估计布朗尼分数运动的赫斯特系数。为此，应用了Wiener功能分布分布的渐近扩展理论。数值研究证明了渐近扩张的影响。
Asymptotic expansion is presented for an estimator of the Hurst coefficient of a fractional Brownian motion. For this, a recently developed theory of asymptotic expansion of the distribution of Wiener functionals is applied. The effects of the asymptotic expansion are demonstrated by numerical studies.
