Hurst function estimation (Q2196195)
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scientific article; zbMATH DE number 7241571
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| English | Hurst function estimation |
scientific article; zbMATH DE number 7241571 |
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Hurst function estimation (English)
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28 August 2020
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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.
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infill asymptotics
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minimax rate
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multifractional Brownian motion
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nonparametric estimation
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0.8695080280303955
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0.8372066617012024
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0.8201049566268921
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0.809672474861145
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0.8091577291488647
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