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dec 2005 Identification of multifractional Brownian motion
Jean-François Coeurjolly
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Bernoulli 11(6): 987-1008 (dec 2005). DOI: 10.3150/bj/1137421637

Abstract

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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Jean-François Coeurjolly. "Identification of multifractional Brownian motion." Bernoulli 11 (6) 987 - 1008, dec 2005. https://doi.org/10.3150/bj/1137421637

Information

Published: dec 2005
First available in Project Euclid: 16 January 2006

zbMATH: 1098.62109
MathSciNet: MR2188838
Digital Object Identifier: 10.3150/bj/1137421637

Rights: Copyright © 2005 Bernoulli Society for Mathematical Statistics and Probability

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Vol.11 • No. 6 • dec 2005
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