Image de couverture de livre

$whittlehurst$: A Python package implementing Whittle's likelihood estimation of the Hurst exponent

Fuente: arXiv

Enregistré dans:

Détails bibliographiques
Auteurs principaux:	Csanády, Bálint, Nagy, Lóránt, Lukács, András
Format:	Preprint
Publié:	2025
Sujets:	Computation Machine Learning 60G22 G.3; G.4
Accès en ligne:	Acceder al recurso
Tags:	Ajouter un tag Pas de tags, Soyez le premier à ajouter un tag!

Documents similaires

Parameter Estimation of Long Memory Stochastic Processes with Deep Neural Networks
par: Csanády, Bálint, et autres
Publié: (2024)

Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent
par: Bibinger, Markus, et autres
Publié: (2023)

Fairmetrics: An R package for group fairness evaluation
par: Smith, Benjamin, et autres
Publié: (2025)

Volatility Modeling via EWMA-Driven Time-Dependent Hurst Parameters
par: Athipatla, Jayanth
Publié: (2025)

NeuroMemFPP: A recurrent neural approach for memory-aware parameter estimation in fractional Poisson process
par: Gupta, Neha, et autres
Publié: (2025)

Parameter Estimation for the Complex Fractional Ornstein-Uhlenbeck Processes with Hurst parameter H \in (0, 1/2)
par: Alazemi, Fares, et autres
Publié: (2024)

Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
par: Al-Foraih, Mishari, et autres
Publié: (2023)

The roughness exponent and its model-free estimation
par: Han, Xiyue, et autres
Publié: (2021)

On Approximate Representation of Fractional Brownian Motion
par: Rybakov, Konstantin A.
Publié: (2025)

Spectral Representation and Simulation of Fractional Brownian Motion
par: Rybakov, Konstantin A.
Publié: (2024)

Extending JumpProcess.jl for fast point process simulation with time-varying intensities
par: Zagatti, Guilherme Augusto, et autres
Publié: (2023)

Parameter Estimation for multi-mixed Fractional Ornstein--Uhlenbeck Processes by Generalized Method of Moments
par: Almani, Hamidreza Maleki, et autres
Publié: (2024)

Optimal kernel regression bounds under energy-bounded noise
par: Lahr, Amon, et autres
Publié: (2025)

Parameter estimation and long-range dependence of the fractional binomial process
par: Babulal, Meena Sanjay, et autres
Publié: (2024)

Spatial Shortcuts in Graph Neural Controlled Differential Equations
par: Detzel, Michael, et autres
Publié: (2024)

Scalable Gaussian process inference via neural feature maps
par: Stephenson, Anthony
Publié: (2026)

Non-Homogeneous Generalized Fractional Skellam Process
par: Tathe, Kartik, et autres
Publié: (2024)

Strassen's local law of the iterated logarithm for the generalized fractional Brownian motion
par: Wang, Ran, et autres
Publié: (2024)

Lower classes and Chung's LILs of the fractional integrated generalized fractional Brownian motion
par: Lyu, Mengjie, et autres
Publié: (2024)

High-level moving excursions for spatiotemporal Gaussian random fields with long range dependence
par: Leonenko, N. N., et autres
Publié: (2024)

Testing the goodness-of-fit of a functional autoregressive model
par: González-Manteiga, W., et autres
Publié: (2023)

Tempered Fractional Hawkes Process and Its Generalization
par: Gupta, Neha, et autres
Publié: (2024)

Manifold functional multiple regression model with LRD error term
par: Ovalle-Muñoz, Diana P., et autres
Publié: (2024)

Local linearization for estimating the diffusion parameter of nonlinear stochastic wave equations with spatially correlated noise
par: Liu, Guoping, et autres
Publié: (2025)

PyDPF: A Python Package for Differentiable Particle Filtering
par: Brady, John-Joseph, et autres
Publié: (2025)

On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models
par: Han, Xiyue, et autres
Publié: (2025)

Random Field Representations of Kernel Distances
par: Langmore, Ian
Publié: (2025)

Robustness of Deep ReLU Networks to Misclassification of High-Dimensional Data
par: Kůrková, Věra
Publié: (2026)

How smooth is the drift of the mixed fractional Brownian motion?
par: Chigansky, Pavel, et autres
Publié: (2025)

Geometrical subordinated Poisson processes and its extensions
par: Gupta, Neha, et autres
Publié: (2025)

Interacting point processes
par: Cinque, Fabrizio, et autres
Publié: (2025)

Generalized Space-Fractional Poisson Process via Variable-Order Stable Subordinator
par: Singh, Reetendra, et autres
Publié: (2026)

Quasihelix properties of selected Volterra Gaussian processes
par: Mishura, Yuliya, et autres
Publié: (2026)

Hawkes process with tempered Mittag-Leffler kernel
par: Gupta, Neha, et autres
Publié: (2024)

Tempered space-time fractional negative binomial process
par: Shilpa, et autres
Publié: (2024)

Some Compound Fractional Poisson Processes
par: Khandakar, M., et autres
Publié: (2022)

Fractional Skellam Process of Order $k$
par: Kataria, K. K., et autres
Publié: (2021)

Multivariate Generalized Counting Process via Gamma Subordination
par: Dhillon, Manisha, et autres
Publié: (2025)

A transfer principle for computing the adapted Wasserstein distance between stochastic processes
par: Jiang, Yifan, et autres
Publié: (2025)

A fractional Brownian -- Hawkes model for the Italian electricity spot market: estimation and forecasting
par: Giordano, Luca M., et autres
Publié: (2019)