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.
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页码：987 / 1008
页数：22
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