Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models

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)

zbMATH Keywords

multifractional Brownian motion (mBm); fractional Brownian motion (fBm); wavelet series expansion; finance time series; time-varying Hurst index

Mathematics Subject Classification ID

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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