Identification of multifractional Brownian motion
Coeurjolly, Jean-François
Bernoulli, Tome 11 (2005) no. 1, p. 987-1008 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
We develop a method for estimating the Hurst function of a multifractional Brownian motion, which is an extension of the fractional Brownian motion in the sense that the path regularity can now vary with time. This method is based on a local estimation of the second-order moment of a unique discretized filtered path. The effectiveness of our procedure is investigated in a short simulation study.
Publié le : 2005-12-14
Classification:  filtering,  fractional Brownian motion,  functional estimation,  multifractional Brownian motion 
@article{1137421637,
     author = {Coeurjolly, Jean-Fran\c cois},
     title = {Identification of multifractional Brownian motion},
     journal = {Bernoulli},
     volume = {11},
     number = {1},
     year = {2005},
     pages = { 987-1008},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1137421637}
}

Coeurjolly, Jean-François. Identification of multifractional Brownian motion. Bernoulli, Tome 11 (2005) no. 1, pp.  987-1008. http://gdmltest.u-ga.fr/item/1137421637/