Identification of multifractional Brownian motion

Jean-François Coeurjolly

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We develop a method for estimating the Hurst function of a multifractional Brownian motion, which is an extension of the fractional Brownian motion in the sense that the path regularity can now vary with time. This method is based on a local estimation of the second-order moment of a unique discretized filtered path. The effectiveness of our procedure is investigated in a short simulation study.

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Bernoulli Volume 11, Number 6 (2005), 987-1008.

First available in Project Euclid: 16 January 2006

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Coeurjolly, Jean-François. Identification of multifractional Brownian motion. Bernoulli 11 (2005), no. 6, 987--1008. doi:10.3150/bj/1137421637.

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