Identifying the multifractional function of a Gaussian process

Gaussian processes that are multifractional are studied in this paper. By multifractional processes we mean that they behave locally like a fractional Brownian motion, but the fractional index is no more a constant: it is a function. We introduce estimators of this multifractional function based on discrete observations of one sample path of the process and we study their asymptotical behavior as the mesh decreases to zero.

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Year of publication:	1998
Authors:	Benassi, Albert ; Cohen, Serge ; Istas, Jacques
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 39.1998, 4, p. 337-345
Publisher:	Elsevier
Subject:	Gaussian processes Identification Multifractional function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005254131