Hurst function estimation (Q2196195)

The authors consider the problem to estimate the Hurst function of a multifractional Brownian motion which is observed on a regular grid. The results include a lower bound on the estimation rate and the construction of a rate optimal nonparametric estimator. The variance multiplier \(\sigma^2\) is either assumed to be known or estimated as well. The authors discuss the implementation of the estimator in details and study its performance in extensive numerical simulations.