Uniform Holder exponent of a stationary increments Gaussian process: Estimation starting from average values

Let {X(t)}(t is an element of R) be a stationary increments Gaussian process satisfying some assumptions. By using the notion of generalized quadratic variation we build a strongly consistent and asymptotically normal estimator of the uniform Holder exponent of X, over a compact interval. Our estimator is obtained starting from average values of the process over a regular grid. (C) 2011 Elsevier B.V. All rights reserved.