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

被引：2

作者：

Peng, Qidi ^{[1
]}

机构：

[1] Univ Lille 1, Lab Paul Painleve, UMR 8524, CNRS, F-59655 Villeneuve Dascq, France

来源：

STATISTICS & PROBABILITY LETTERS | 2011年 / 81卷 / 08期

关键词：

Gaussian processes; Holder exponents; Generalized increments; Quadratic variations; Central Limit Theorems; MULTIFRACTIONAL BROWNIAN-MOTION; IDENTIFICATION;

D O I：

10.1016/j.spl.2011.03.036

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：

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.

引用

页码：1326 / 1335

页数：10

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