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Cited by 8
On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractional Brownian Motion

Description and Properties of the Basic Stochastic Models
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_1
Book:  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 1
The Extended Orey Index for Gaussian Processes
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_6
Book:  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 269
Drift Parameter Estimation in Diffusion and Fractional Diffusion Models
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_5
Book:  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 161
The Hurst Index Estimators for a Fractional Brownian Motion
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_2
Book:  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 45
Estimation of the Hurst Index from the Solution of a Stochastic Differential Equation
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_3
Book:  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 75
Parameter Estimation in the Mixed Models via Power Variations
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko
https://doi.org/10.1007/978-3-319-71030-3_4
Book:  Bocconi & Springer Series (Parameter Estimation in Fractional Diffusion Models) Volume 8 (2017), p. 125
Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift
K. Kubilius, V. Skorniakov, D. Melichov
https://doi.org/10.1080/00949655.2015.1095301
Journal:  Journal of Statistical Computation and Simulation Volume 86, Issue 10 (2016), p. 1954
On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion
K. Kubilius, V. Skorniakov
https://doi.org/10.1016/j.spl.2015.11.013
Journal:  Statistics & Probability Letters Volume 109 (2016), p. 159


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