Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models
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Publication:3119664
DOI10.3233/RDA-180136zbMath1409.60060WikidataQ129739588 ScholiaQ129739588MaRDI QIDQ3119664
Jean-Louis Combes, Marie-Eliette Dury, Doha Hadouni, Pierre R. Bertrand
Publication date: 12 March 2019
Published in: Risk and Decision Analysis (Search for Journal in Brave)
multifractional Brownian motion (mBm); fractional Brownian motion (fBm); wavelet series expansion; finance time series; time-varying Hurst index
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G22: Fractional processes, including fractional Brownian motion
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