Estimation of the Hurst parameter in some fractional processes
We propose to estimate the Hurst parameter involved in fractional processes via a method based on the KarhunenLoeve expansion of a Gaussian process. We specifically investigate the cases of the fractional Brownian motion, the fractional OrnsteinUhlenbeck family and the fractional Brownian bridge. We numerically compare our results with the ones obtained by the maximum-likelihood method, which show the validity of our proposal.
karhunen-loeve expansion fractional gaussian process hurst parameter estimation