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Estimation of the global regularity of a multifractional Brownian motion
Estimation of the global regularity of a multifractional Brownian motion
Abstract : This paper presents a new estimator of the global regularity index of a multifractional Brownian motion. Our estimation method is based upon a ratio statistic, which compares the realized global quadratic variation of a multifractional Brownian motion at two different frequencies. We show that a logarithmic transformation of this statistic converges in probability to the minimum of the Hurst function, which is, under weak assumptions, identical to the global regularity index of the path.
Cited literature [14 references]
https://hal.inria.fr/hal-01343318
Contributor : Joachim Lebovits <>
Submitted on : Friday, July 8, 2016 - 4:07:10 PM
Last modification on : Wednesday, April 28, 2021 - 6:45:36 PM
Long-term archiving on: : Sunday, October 9, 2016 - 11:54:01 AM
Contributor : Joachim Lebovits <>
Submitted on : Friday, July 8, 2016 - 4:07:10 PM
Last modification on : Wednesday, April 28, 2021 - 6:45:36 PM
Long-term archiving on: : Sunday, October 9, 2016 - 11:54:01 AM
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