Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients

DOI10.1007/S11203-016-9145-1OpenAlexW2283031867MaRDI QIDQ1744224

Qidi Peng, Henry Schellhorn, Sixian Jin

Publication date: 16 April 2018

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.05054

zbMATH Keywords

pointwise Hölder exponentparametric estimationwavelet coefficientsmultifractional process

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Related Items (3)

Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients ⋮ Multifractional Brownian motion characterization based on Hurst exponent estimation and statistical learning ⋮ A general class of multifractional processes and stock price informativeness

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