scientific article; zbMATH DE number 7799702
From MaRDI portal
Publication:6187176
Publication date: 5 February 2024
Full work available at URL: https://alea.impa.br/articles/v20/20-60.pdf
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
fractional Brownian motionlaws of large numbersquadratic variationsstatistical estimation of functionsvarying Hurst parameter
Nonparametric estimation (62G05) Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Linear multifractional stable motion: wavelet estimation of \(H(\cdot)\) and \(\alpha\) parameters
- Estimation of the global regularity of a multifractional Brownian motion
- Uniformly and strongly consistent estimation for the Hurst function of a linear multifractional stable motion
- Discretization of processes.
- Identification of multifractional Brownian motion
- Wavelet construction of generalized multifractional processes
- Identifying the multifractional function of a Gaussian process
- Elliptic Gaussian random processes
- Hölder conditions for the local times and the Hausdorff measure of the level sets of Gaussian random fields
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
- Real harmonizable multifractional Lévy motions
- Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
- An estimation of the stability and the localisability functions of multistable processes
- Regularity of multifractional moving average processes with random Hurst exponent
- On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion
- Multifractional processes with random exponent
- Moving average multifractional processes with random exponent: lower bounds for local oscillations
- Multifractional processes in finance
- A new multifractional process with random exponent
- Weak convergence to fractional brownian motion and to the rosenblatt process
- Non-central limit theorems for non-linear functional of Gaussian fields
- Gaussian Hilbert Spaces
- Multifractional Stochastic Fields
- Estimation of the multifractional function and the stability index of linear multifractional stable processes
- Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity
- Fractional Brownian Motions, Fractional Noises and Applications
- Identification of the Hurst index of a step fractional Brownian motion
This page was built for publication:
