Uniformly and strongly consistent estimation for the Hurst function of a linear multifractional stable motion
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Publication:520702
DOI10.3150/15-BEJ781zbMath1378.62052arXiv1407.3395MaRDI QIDQ520702
Antoine Ayache, Julien Hamonier
Publication date: 5 April 2017
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.3395
heavy-tailed distributions; laws of large numbers; discrete variations; statistical estimation of functions; time changing Hurst parameter
62G20: Asymptotic properties of nonparametric inference
62G05: Nonparametric estimation
60G22: Fractional processes, including fractional Brownian motion
62M09: Non-Markovian processes: estimation
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