On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractional Brownian Motion
Volume 22, Issue 1 (2011), pp. 97–114
Pub. online: 1 January 2011
Type: Research Article
Supported by the Research Council of Lithuaniam contract No. MIP-66/2010.
Received
1 August 2010
1 August 2010
Accepted
1 November 2010
1 November 2010
Published
1 January 2011
1 January 2011
Abstract
This paper presents a study of the Hurst index estimation in the case of fractional Ornstein–Uhlenbeck and geometric Brownian motion models. The performance of the estimators is studied both with respect to the value of the Hurst index and the length of sample paths.