Estimation of the local regularity index of a sample path

DOI10.1016/S1631-073X(02)02241-0MaRDI QIDQ1598478zbMATH OpenOpenAlexFDO

Authors Delphine Blanke

Publication date 3 December 2002

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s1631-073x(02)02241-0, https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/S1631-073X(02)02241-0/

zbMATH Keywords

local Hölder conditionsample path

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09)

Review text

We consider processes that satisfy a local Hölder condition with unknown coefficient \(\gamma_0\). We study two families of estimators for \(\gamma_0\): the first one based upon the whole sample path over \([0,T_N]\), \(T_N\nearrow\infty\), and the second one constructed with \(n\) observations at sampling rate \(\delta_n\), \(\delta_n\to 0\) and \(n\delta_n\to \infty\) as \(n\to \infty\). For the almost sure convergence, we give the rates for these two families.

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Cites work

• Estimation of local smoothness coefficients for continuous time processes
• scientific article; zbMATH DE number 469371 (Why is no real title available?)
• scientific article; zbMATH DE number 509156 (Why is no real title available?)
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Cited in

(5)

• scientific article; zbMATH DE number 663682 (Why is no real title available?)
• scientific article; zbMATH DE number 1748027 (Why is no real title available?)
• Local Hölder regularity for set-indexed processes
• scientific article; zbMATH DE number 7491400 (Why is no real title available?)
• Statistical estimation for a class of self-regulating processes

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