Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients

被引：4
|
作者：
Jin S. [1 ]
Peng Q. [1 ]
Schellhorn H. [1 ]
机构：
[1] Institute of Mathematical Sciences, Claremont Graduate University, 710 N. College Ave., Claremont, 91711, CA
来源：
Statistical Inference for Stochastic Processes | 2018年 / 21卷 / 1期
关键词：
Multifractional process; Parametric estimation; Pointwise Hölder exponent; Wavelet coefficients;
D O I：
10.1007/s11203-016-9145-1
中图分类号：
学科分类号：
摘要：
We propose a wavelet-based approach to construct consistent estimators of the pointwise Hölder exponent of a multifractional Brownian motion, in the case where this underlying process is not directly observed. The relative merits of our estimator are discussed, and we introduce an application to the problem of estimating the functional parameter of a nonlinear model. © 2016, Springer Science+Business Media Dordrecht.
引用
收藏
页码：113 / 140
页数：27
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