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Article

Оценка параметров фрактальных случайных процессов

Саичев А. И., Филимонов В. А., Тараканова М. В.

Garman-Klass and Rogers-Satchell methods to estimate the diffusion coefficient of a fractal random process are considered. Standard statistical characteristics are studied of the estimates proposed, such as mean, variance, as well as the estimation distribution function.