Estimation of the local regularity index of a sample path

DOI10.1016/S1631-073X(02)02241-0zbMath0999.62066OpenAlexW1970337376MaRDI QIDQ1598478

Delphine Blanke

Publication date: 3 December 2002

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s1631-073x(02)02241-0

zbMATH Keywords

sample pathlocal Hölder condition

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

Cites Work

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• Inequalities for increments of stochastic processes and moduli of continuity
• Nonparametric statistics for stochastic processes. Estimation and prediction.
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Estimation of local smoothness coefficients for continuous time processes
• Identification of a locally self-similar Gaussian process by using convex rearrangements

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