Estimation of the global regularity of a multifractional Brownian motion

DOI10.1214/16-EJS1221zbMath1356.60063arXiv1607.02391OpenAlexW2949910768MaRDI QIDQ505570

Joachim Lebovits, Mark Podolskij

Publication date: 26 January 2017

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.02391

zbMATH Keywords

estimationconsistencymultifractional Brownian motionglobal regularityHurst parameterpower variation

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Sample path properties (60G17)

Related Items (7)

Multifractional Hermite processes: definition and first properties ⋮ A minimal contrast estimator for the linear fractional stable motion ⋮ Unnamed Item ⋮ Regularity of multifractional moving average processes with random Hurst exponent ⋮ Estimation of the linear fractional stable motion ⋮ On limit theory for functionals of stationary increments Lévy driven moving averages ⋮ An optimal control problem for a linear SPDE driven by a multiplicative multifractional Brownian motion

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