Measuring the roughness of random paths by increment ratios

DOI10.3150/10-BEJ291zbMath1248.60042arXiv0802.0489OpenAlexW2074028099MaRDI QIDQ453302

Donatas Surgailis, Jean-Marc Bardet

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0802.0489

zbMATH Keywords

Lévy processesfractional Brownian motiondiffusion processesmultifractional Brownian motionlimit theoremsHölder exponentestimation of the local regularity function of stochastic processtangent processzero crossings

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Sample path properties (60G17)

Related Items (16)

The increment ratio statistic under deterministic trends ⋮ Local scaling limits of Lévy driven fractional random fields ⋮ Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size ⋮ Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index ⋮ Joint asymptotics for estimating the fractal indices of bivariate Gaussian processes ⋮ On a covariance structure of some subset of self-similar Gaussian processes ⋮ Intergenerational risk sharing in a defined contribution pension system: analysis with Bayesian optimization ⋮ A short note on a class of statistics for estimation of the Hurst index of fractional Brownian motion ⋮ On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process ⋮ Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion ⋮ An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic ⋮ An estimator of the tail index based on increment ratio statistics ⋮ Statistical Estimation for a Class of Self‐Regulating Processes ⋮ Exact uniform modulus of continuity and Chung's LIL for the generalized fractional Brownian motion ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets

Cites Work

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

This page was built for publication: Measuring the roughness of random paths by increment ratios