Identification of filtered white noises
From MaRDI portal
Publication:1805757
DOI10.1016/S0304-4149(97)00123-3zbMath0932.60037MaRDI QIDQ1805757
Stéphane Jaffard, Serge Cohen, Albert Benassi, Jacques Istas
Publication date: 18 November 1999
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Related Items (29)
Consistent estimates of deformed isotropic Gaussian random fields on the plane ⋮ On the consistent separation of scale and variance for Gaussian random fields ⋮ Exact confidence intervals of the extended Orey index for Gaussian processes ⋮ Estimating the Hurst parameter ⋮ Identifying the anisotropical function of a \(d\)-dimensional Gaussian self-similar process with stationary increments ⋮ Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences ⋮ Statistical tests of heterogeneity for anisotropic multifractional Brownian fields ⋮ Estimating the smoothness of a Gaussian random field from irregularly spaced data via higher-order quadratic variations ⋮ Study of a robust feature: the pointwise Lipschitz regularity ⋮ On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion ⋮ Asymptotic expansion of an estimator for the Hurst coefficient ⋮ CLT for quadratic variation of Gaussian processes and its application to the estimation of the Orey index ⋮ The rate of convergence of Hurst index estimate for the stochastic differential equation ⋮ Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity ⋮ Local time and related sample paths of filtered white noises ⋮ Functional limit theorems for generalized quadratic variations of Gaussian processes ⋮ Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion ⋮ On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion ⋮ Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values ⋮ Estimation of anisotropic Gaussian fields through Radon transform ⋮ PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE ⋮ Fields with exceptional tangent fields ⋮ Cramèr-Rao bounds for fractional Brownian motions ⋮ Multi-operator scaling random fields ⋮ Total variation estimates in the Breuer-Major theorem ⋮ Estimation of parameters of SDE driven by fractional Brownian motion with polynomial drift ⋮ On fixed-domain asymptotics, parameter estimation and isotropic Gaussian random fields with Matérn covariance functions ⋮ Smoothness estimation of nonstationary Gaussian random fields from irregularly spaced data observed along a curve ⋮ Local self-similarity and the Hausdorff dimension
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Convergence en loi des H-variations d'un processus gaussien stationnaire sur \({\mathbb{R}}\). (Convergence in law of H-variations of a stationary Gaussian process)
- Variations de champs Gaussiens stationnaires: Application à l'idéntification. (Variations of stationary Gaussian fields: Application to identification)
- Uniform quadratic variation for Gaussian processes
- On Lévy–Baxter Theorems for Stochastic Elliptic Equations
- Fractional Brownian Motions, Fractional Noises and Applications
This page was built for publication: Identification of filtered white noises
