A0693
Title: Asymptotic expansion of an estimator for the Hurst coefficient
Authors: Hayate Yamagishi - University of Tokyo (Japan) [presenting]
Nakahiro Yoshida - University of Tokyo (Japan)
Yuliya Mishura - Taras Shevchenko National University of Kyiv (Ukraine)
Abstract: Asymptotic expansion is presented as an estimator of the Hurst coefficient of a fractional Brownian motion. First, the expansion formula of the principal term of the error of the estimator is derived using a recently developed theory of the asymptotic expansion of the distribution of Wiener functionals and utilizes the perturbation method on the obtained formula in order to calculate the expansion of the estimator. Numerical results show that the asymptotic expansion attains higher accuracy than the normal approximation.
