Identification of multifractional Brownian motion

被引：50

作者：

Coeurjolly, JF ^{[1
]}

机构：

[1] UPMF, BSHM, Labsad, F-38040 Grenoble 9, France

来源：

BERNOULLI | 2005年 / 11卷 / 06期

关键词：

filtering; fractional Brownian motion; functional estimation; multifractional Brownian motion;

D O I：

10.3150/bj/1137421637

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We develop a method for estimating the Hurst function of a multifractional Brownian motion, which is an extension of the fractional Brownian motion in the sense that the path regularity can now vary with time. This method is based on a local estimation of the second-order moment of a unique discretized filtered path. The effectiveness of our procedure is investigated in a short simulation study.

引用

页码：987 / 1008

页数：22

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