## Electronic Journal of Statistics

### Estimating self-similarity through complex variations

Jacques Istas

#### Abstract

We estimate the self-similarity index of a $H$-sssi process through complex variations. The advantage of the complex variations is that they do not require existence of moments and can therefore be used for infinite variance processes.

#### Article information

Source
Electron. J. Statist., Volume 6 (2012), 1392-1408.

Dates
First available in Project Euclid: 31 July 2012

https://projecteuclid.org/euclid.ejs/1343738543

Digital Object Identifier
doi:10.1214/12-EJS717

Mathematical Reviews number (MathSciNet)
MR2988452

Zentralblatt MATH identifier
1334.60052

Subjects
Primary: 60G18: Self-similar processes
Secondary: 60G15: Gaussian processes 60G52: Stable processes

#### Citation

Istas, Jacques. Estimating self-similarity through complex variations. Electron. J. Statist. 6 (2012), 1392--1408. doi:10.1214/12-EJS717. https://projecteuclid.org/euclid.ejs/1343738543

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