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2013 An estimation of the stability and the localisability functions of multistable processes
R. Le Guével
Electron. J. Statist. 7: 1129-1166 (2013). DOI: 10.1214/13-EJS797

Abstract

Multistable processes are tangent at each point to a stable process, but where the index of stability and the index of localisability varies along the path. In this work, we give two estimators of the stability and the localisability functions, and we prove the consistency of those two estimators. We illustrate these convergences with two examples, the Lévy multistable process and the Linear Multifractional Multistable Motion.

Citation

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R. Le Guével. "An estimation of the stability and the localisability functions of multistable processes." Electron. J. Statist. 7 1129 - 1166, 2013. https://doi.org/10.1214/13-EJS797

Information

Published: 2013
First available in Project Euclid: 22 April 2013

zbMATH: 1337.62236
MathSciNet: MR3056070
Digital Object Identifier: 10.1214/13-EJS797

Subjects:
Primary: 60G18, 60G22, 60G52, 62M09

Rights: Copyright © 2013 The Institute of Mathematical Statistics and the Bernoulli Society

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