高斯过程扩展Orey指数的估计

Pub Date : 2015-04-09 DOI:10.1080/17442508.2014.989527

K. Kubilius

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引用次数: 12

摘要

Orey提出了一个具有平稳增量的高斯过程的指数的定义，它决定了该过程的样本路径的各种性质。我们将Orey指数的定义扩展到可能没有平稳增量的二阶随机过程，并从其样本路径的离散观测中估计高斯过程的Orey指数。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On estimation of the extended Orey index for Gaussian processes

Orey suggested the definition of an index for a Gaussian process with stationary increments which determines various properties of the sample paths of this process. We provide an extension of the definition of the Orey index towards a second-order stochastic process which may not have stationary increments and estimate the Orey index towards a Gaussian process from discrete observations of its sample paths.

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