Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155702 | Stochastic Processes and their Applications | 2013 | 42 Pages |
Abstract
A new nonparametric estimator of the local Hurst function of a multifractional Gaussian process based on the increment ratio (IR) statistic is defined. In a general frame, the point-wise and uniform weak and strong consistency and a multidimensional central limit theorem for this estimator are established. Similar results are obtained for a refinement of the generalized quadratic variations (QV) estimator. The example of the multifractional Brownian motion is studied in detail. A simulation study is included showing that the IR-estimator is more accurate than the QV-estimator.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Jean-Marc Bardet, Donatas Surgailis,