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

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+diffusion processes
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+estimation of the local regularity function of stochastic process
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+fractional Brownian motion
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+Hölder exponent
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+Lévy processes
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+limit theorems
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+multifractional Brownian motion
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+tangent process
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+zero crossings
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+.0489
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+Estimating the degree of activity of jumps in high frequency data
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@@ Property / cites work @@
+Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
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@@ Property / cites work @@
+Q4662411
@@ Property / cites work: Q4662411 / rank @@
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@@ Property / cites work @@
+DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION
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@@ Property / cites work @@
+Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
+Normal rank
@@ Property / cites work @@
+Spectral estimation of the fractional order of a Lévy process
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@@ Property / cites work @@
+Identifying the multifractional function of a Gaussian process
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@@ Property / cites work @@
+Elliptic Gaussian random processes
@@ Property / cites work: Elliptic Gaussian random processes / rank @@
+Normal rank
@@ Property / cites work @@
+A central limit theorem for m-dependent random variables with unbounded m
+Normal rank
@@ Property / cites work @@
+Central limit theorems for non-linear functionals of Gaussian fields
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@@ Property / cites work @@
+Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths
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@@ Property / cites work @@
+Identification of multifractional Brownian motion
@@ Property / cites work: Identification of multifractional Brownian motion / rank @@
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@@ Property / cites work @@
+Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles
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@@ Property / cites work @@
+Q5544740
@@ Property / cites work: Q5544740 / rank @@
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@@ Property / cites work @@
+The empirical process of a short-range dependent stationary sequence under Gaussian subordination
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@@ Property / cites work @@
+Efficient parameter estimation for self-similar processes
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@@ Property / cites work @@
+Q3965339
@@ Property / cites work: Q3965339 / rank @@
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@@ Property / cites work @@
+Tangent fields and the local structure of random fields
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+THE LOCAL STRUCTURE OF RANDOM PROCESSES
@@ Property / cites work: THE LOCAL STRUCTURE OF RANDOM PROCESSES / rank @@
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@@ Property / cites work @@
+ESTIMATION OF FRACTAL INDEX AND FRACTAL DIMENSION OF A GAUSSIAN PROCESS BY COUNTING THE NUMBER OF LEVEL CROSSINGS
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@@ Property / cites work @@
+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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@@ Property / cites work @@
+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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@@ Property / cites work @@
+On the performance of box-counting estimators of fractal dimension
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@@ Property / cites work @@
+A central limit theorem for non-instantaneous filters of a stationary Gaussian process
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@@ Property / cites work @@
+Q5624460
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@@ Property / cites work @@
+Quadratic variations and estimation of the local Hölder index of a Gaussian process
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@@ Property / cites work @@
+Nonparametric estimation for Lévy processes from low-frequency observations
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@@ Property / cites work @@
+Invariance principle for a class of non stationary processes with long memory
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@@ Property / cites work @@
+Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory
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@@ Property / cites work @@
+Q4937701
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+Q5546937
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+Q5192802
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@@ Property / cites work @@
+Nonhomogeneous fractional integration and multifractional processes
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@@ Property / cites work @@
+The increment ratio statistic
@@ Property / cites work: The increment ratio statistic / rank @@
+Normal rank
@@ Property / cites work @@
+Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
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@@ Property / cites work @@
+An estimator of the tail index based on increment ratio statistics
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@@ Property / cites work @@
+Asymptotic Statistics
@@ Property / cites work: Asymptotic Statistics / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:453302