Measuring the roughness of random paths by increment ratios (Q453302): Difference between revisions

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+Estimating the degree of activity of jumps in high frequency data
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+THE LOCAL STRUCTURE OF RANDOM PROCESSES
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+ESTIMATION OF FRACTAL INDEX AND FRACTAL DIMENSION OF A GAUSSIAN PROCESS BY COUNTING THE NUMBER OF LEVEL CROSSINGS
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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process
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+Convergence en loi des H-variations d'un processus gaussien stationnaire sur \({\mathbb{R}}\). (Convergence in law of H-variations of a stationary Gaussian process)
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+The increment ratio statistic
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+Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
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+An estimator of the tail index based on increment ratio statistics
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+Asymptotic Statistics
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