Local estimation of the Hurst index of multifractional Brownian motion by increment ratio statistic method
نویسندگان
چکیده
منابع مشابه
Local estimation of the Hurst index of multifractional Brownian motion by Increment Ratio Statistic method
We investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional Brownian motion, leading to a CLT for the time varying Hurst index. The proofs are quite simple relying on Breuer-Major theorems and an original freezing of time strategy. A simulation study shows the goodness of fit of this estimator.
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ژورنال
عنوان ژورنال: ESAIM: Probability and Statistics
سال: 2013
ISSN: 1292-8100,1262-3318
DOI: 10.1051/ps/2011154