Identifying the multifractional function of a Gaussian process

DOI10.1016/S0167-7152(98)00078-9zbMath0931.60022MaRDI QIDQ1273015

Albert Benassi, Serge Cohen, Jacques Istas

Publication date: 2 March 1999

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

identification; fractional Brownian motion; Gaussian process; quadratic variation; multifractional function

Mathematics Subject Classification ID

60G15: Gaussian processes

62G05: Nonparametric estimation

60G17: Sample path properties

Related Items

Stochastic properties of the linear multifractional stable motion, Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity, Identification of the multiscale fractional Brownian motion with biomechanical applications, Integrated Fractional white Noise as an Alternative to Multifractional Brownian Motion, Estimators of fractal dimension: assessing the roughness of time series and spatial data, Goodness of fit assessment for a fractal model of stock markets, Modelling NASDAQ series by sparse multifractional Brownian motion, Measuring the roughness of random paths by increment ratios, Identification of nonstandard multifractional Brownian motions under white noise by multiscale local variations of its sample paths, Linear multifractional stable motion: wavelet estimation of \(H(\cdot)\) and \(\alpha\) parameters, Local time and Tanaka formula for a Volterra-type multifractional Gaussian process, Invariance principle, multifractional Gaussian processes and long-range dependence, Identification of multifractional Brownian motion, Quadratic variations of spherical fractional Brownian motions, A simple fractionally integrated model with a time-varying long memory parameter \(d_t\), LASS: a tool for the local analysis of self-similarity, On some possible generalizations of fractional Brownian motion., On roughness indices for fractional fields, Fields with exceptional tangent fields, Local self-similarity and the Hausdorff dimension, Asymptotic behavior of mixed power variations and statistical estimation in mixed models, Estimation of parameters of a multifractal process, Wavelet techniques for pointwise regularity, Functional limit theorems for generalized quadratic variations of Gaussian processes

Cites Work

• Elliptic Gaussian random processes
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• MULTIFRACTAL SEGMENTATION OF IMAGES
• ESTIMATION OF FRACTAL INDEX AND FRACTAL DIMENSION OF A GAUSSIAN PROCESS BY COUNTING THE NUMBER OF LEVEL CROSSINGS
• On the performance of box-counting estimators of fractal dimension
• Fractional Brownian Motions, Fractional Noises and Applications
• Unnamed Item