Fabian Mies
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Rough Hurst function estimation
Publication
The fractional Brownian motion (fBm) is parameterized by the Hurst exponent $H\in(0,1)$, which determines the dependence structure and re...
Self-normalised change point tests that remain pivotal under non-stationarity
Publication
Self-normalising test statistics for time series circumvent the lag-specification of long-run variance estimators by employing an inconsi...
Likelihood asymptotics of stationary Gaussian arrays
Publication
This paper develops the asymptotic likelihood theory for triangular arrays of stationary Gaussian time series depending on a multidimensi...