"Joint Asymptotics for Estimating the Fractal Indices of Bivariate Gau" by Yuzhen Zhou and Yimin Xiao

Mathematics, Department of

 

Document Type

Article

Date of this Version

2018

Citation

Journal of Miltivariate Analysis 165 (2018) 56-72.

Comments

Copyright 2017 Elsevier Inc.

Abstract

Multivariate (or vector-valued) processes are important for modeling multiple variables. The fractal indices of the components of the underlying multivariate process play a key role in characterizing the dependence structures and statistical properties of the multivariate process. In this paper, under the infill asymptotics framework, we establish joint asymptotic results for the increment-based estimators of bivariate fractal indices. Our main results quantitatively describe the effect of the cross- dependence structure on the performance of the estimators.

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