Local estimation of the Hurst index of multifractional Brownian motion by increment ratio statistic method

DOI10.1051/ps/2011154zbMath1395.62259arXiv1010.4849OpenAlexW2963569352MaRDI QIDQ5408474

Mehdi Fhima, Arnaud Guillin, Pierre R. Bertrand

Publication date: 10 April 2014

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.4849

zbMATH Keywords

fractional Brownian motionmultifractional Brownian motionincrement ratio statisticlocal estimationwavelet series representation

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09)

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Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets ⋮ Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates ⋮ Local times for multifractional Brownian motion in higher dimensions: A white noise approach ⋮ Hurst function estimation ⋮ Self-intersection local times for multifractional Brownian motion in higher dimensions: A white noise approach ⋮ Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients ⋮ A general class of multifractional processes and stock price informativeness

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