BIANCHI, SERGIO - In: International Journal of Theoretical and Applied … 08 (2005) 02, pp. 255-281
We extend and adapt a class of estimators of the parameter H of the fractional Brownian motion in order to estimate the (time-dependent) memory function of a multifractional process. We provide: (a) the estimator's distribution when H ∈ (0,3/4); (b) the confidence interval under the null...