Overfitting of Hurst estimators for multifractional Brownian motion: a fitting test advocating simple models (Q3119664)
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scientific article; zbMATH DE number 7034868
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| English | Overfitting of Hurst estimators for multifractional Brownian motion: a fitting test advocating simple models |
scientific article; zbMATH DE number 7034868 |
Statements
Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models (English)
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12 March 2019
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fractional Brownian motion (fBm)
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multifractional Brownian motion (mBm)
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time-varying Hurst index
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wavelet series expansion
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finance time series
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0.7967572212219238
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0.7864571213722229
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0.7690780162811279
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0.7689754366874695
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