Identifying the multifractional function of a Gaussian process
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Publication:1273015
DOI10.1016/S0167-7152(98)00078-9zbMATH Open0931.60022OpenAlexW2070509144MaRDI QIDQ1273015FDOQ1273015
Authors: Albert Benassi, Serge Cohen, Jacques Istas 
Publication date: 2 March 1999
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-7152(98)00078-9
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Cited In (47)
- Spectral analysis for some multifractional Gaussian processes
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- Minimal model of diffusion with time changing Hurst exponent
- Estimation of the multifractional function and the stability index of linear multifractional stable processes
- An estimation of the stability and the localisability functions of multistable processes
- On roughness indices for fractional fields
- Multifractional Brownian motion characterization based on Hurst exponent estimation and statistical learning
- Invariance principle, multifractional Gaussian processes and long-range dependence
- Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics
- Measuring the roughness of random paths by increment ratios
- Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates
- Functional limit theorems for generalized quadratic variations of Gaussian processes
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences
- Identification of the multiscale fractional Brownian motion with biomechanical applications
- Wavelet analysis of a multifractional process in an arbitrary Wiener chaos
- On local path behavior of surgailis multifractional processes
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- Identification of multifractional Brownian motion
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- \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
- LASS: a tool for the local analysis of self-similarity
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- Bayesian analysis of static and dynamic Hurst parameters under stochastic volatility
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