Hurst function estimation
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Publication:2196195
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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Cited in
(14)- Estimation of parameters of a multifractal process
- Least-squares estimation of multifractional random fields in a Hilbert-valued context
- Overfitting of Hurst estimators for multifractional Brownian motion: a fitting test advocating simple models
- scientific article; zbMATH DE number 5629272 (Why is no real title available?)
- Fast and unbiased estimator of the time-dependent Hurst exponent
- Identification of nonstandard multifractional Brownian motions under white noise by multiscale local variations of its sample paths
- Estimation of the global regularity of a multifractional Brownian motion
- Uniformly and strongly consistent estimation for the Hurst function of a linear multifractional stable motion
- Uniformly and strongly consistent estimation for the random Hurst function of a multifractional process
- Rate accelerated inference for integrals of multivariate random functions
- Learning the regularity of multivariate functional data
- Adaptive estimation of irregular mean and covariance functions
- Structural adaptation and rate accelerated estimation in bivariate functional data
- Estimating the Hurst effect and its application in monitoring clinical trials
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