Pages that link to "Item:Q850716"
From MaRDI portal
The following pages link to Identification of multifractional Brownian motion (Q850716):
Displayed 33 items.
- Modelling NASDAQ series by sparse multifractional Brownian motion (Q430881) (← links)
- Measuring the roughness of random paths by increment ratios (Q453302) (← links)
- Identification of nonstandard multifractional Brownian motions under white noise by multiscale local variations of its sample paths (Q474129) (← links)
- Linear multifractional stable motion: wavelet estimation of \(H(\cdot)\) and \(\alpha\) parameters (Q493615) (← links)
- Quantitative Breuer-Major theorems (Q544489) (← links)
- Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values (Q553077) (← links)
- Spectral analysis for some multifractional Gaussian processes (Q825091) (← links)
- Time-varying Hurst-Hölder exponents and the dynamics of (in)efficiency in stock markets (Q1636954) (← links)
- Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients (Q1744224) (← links)
- Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise (Q1950323) (← links)
- Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility (Q2066041) (← links)
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics (Q2111626) (← links)
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process (Q2127364) (← links)
- Long versus short time scales: the rough dilemma and beyond (Q2145699) (← links)
- Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates (Q2147882) (← links)
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework (Q2160923) (← links)
- Statistical tests of heterogeneity for anisotropic multifractional Brownian fields (Q2186643) (← links)
- Hurst function estimation (Q2196195) (← links)
- The singular values of compact pseudodifferential operators with spatially nonsmooth symbols (Q2203443) (← links)
- A general class of multifractional processes and stock price informativeness (Q2313541) (← links)
- Asymptotic behavior of mixed power variations and statistical estimation in mixed models (Q2350912) (← links)
- Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences (Q2417012) (← links)
- Functional limit theorems for generalized quadratic variations of Gaussian processes (Q2464852) (← links)
- Nonlinearity of the volume-volatility correlation filtered through the pointwise Hurst-Hölder regularity (Q2698372) (← links)
- Fast and unbiased estimator of the time-dependent Hurst exponent (Q4565930) (← links)
- Time varying long memory parameter estimation for locally stationary long memory processes (Q5078131) (← links)
- Forecasting with fractional Brownian motion: a financial perspective (Q5092662) (← links)
- Estimation of the multifractional function and the stability index of linear multifractional stable processes (Q5110206) (← links)
- HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS (Q5234012) (← links)
- Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity (Q5397464) (← links)
- Estimators of fractal dimension: assessing the roughness of time series and spatial data (Q5962692) (← links)
- Multifractional Hermite processes: definition and first properties (Q6056578) (← links)
- (Q6187176) (← links)