Uniformly and strongly consistent estimation for the Hurst function of a linear multifractional stable motion

DOI10.3150/15-BEJ781zbMath1378.62052arXiv1407.3395MaRDI QIDQ520702

Antoine Ayache, Julien Hamonier

Publication date: 5 April 2017

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.3395

zbMATH Keywords

heavy-tailed distributionslaws of large numbersdiscrete variationsstatistical estimation of functionstime changing Hurst parameter

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

Related Items (3)

Estimation of the multifractional function and the stability index of linear multifractional stable processes ⋮ Unnamed Item ⋮ Series representation of jointly \(S \alpha S\) distribution via symmetric covariations

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