Nonparametric estimation of the local Hurst function of multifractional Gaussian processes

DOI10.1016/j.spa.2012.11.009zbMath1257.62034arXiv1010.2895OpenAlexW2028620163MaRDI QIDQ1940241

Jean-Marc Bardet, Donatas Surgailis

Publication date: 6 March 2013

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.2895

zbMATH Keywords

Gaussian processcentral limit theoremmultifractional Brownian motiontangent process

Mathematics Subject Classification ID

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