Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values

DOI10.1016/j.spl.2011.03.036zbMath1219.62130OpenAlexW2055583554MaRDI QIDQ553077

Qidi Peng

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.03.036

zbMATH Keywords

central limit theoremsquadratic variationsgeneralized increments

Mathematics Subject Classification ID

Gaussian processes (60G15) Non-Markovian processes: estimation (62M09)

Related Items (2)

Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients ⋮ Covariance-based dissimilarity measures applied to clustering wide-sense stationary ergodic processes

Cites Work

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• Estimation of the Hurst parameter from discrete noisy data
• On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion
• Stochastic volatility and fractional Brownian motion
• Testing for the Presence of Self-Similarity of Gaussian Time Series Having Stationary Increments
• DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION

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