Analysis of Moments Based Methods for Fractional Gaussian Noise Estimation

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By Mossberg, M.; | published 2012-07-01 | 1 | Share:     Report a problem
 
Fractional Gaussian noise, given as the increment of fractional Brownian motion, is a stationary Gaussian process characterized by the Hurst parameter. In the paper, moments based estimators of the Hurst parameter are presented and analyzed with respect to asymptotic variance.
 
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