DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION
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Cites work
- A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate
- A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
- A general version of the fundamental theorem of asset pricing
- Arbitrage with Fractional Brownian Motion
- Efficient parameter estimation for self-similar processes
- Gaussian moving averages, semimartingales and option pricing.
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- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Identification of the Hurst index of a step fractional Brownian motion
- Identification of the multiscale fractional Brownian motion with biomechanical applications
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion
- Statistical study of the wavelet analysis of fractional Brownian motion
- The generalized multifractional Brownian motion
- Wavelet analysis and synthesis of fractional Brownian motion
- Wavelet estimator of long-range dependent processes.
Cited in
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- Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion
- Adaptive semiparametric wavelet estimator and goodness-of-fit test for long-memory linear processes
- Wavelet estimation for operator fractional Brownian motion
- A packing dimension theorem for Gaussian random fields
- Discretization error of wavelet coefficient for fractal like processes
- A non-parametric estimator of the spectral density of a continuous-time Gaussian process observed at random times
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- Modeling single-file diffusion with step fractional Brownian motion and a generalized fractional Langevin equation
- Stability analysis for point delay fractional description models via linear matrix inequalities
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- Measuring the roughness of random paths by increment ratios
- Stochastic properties of the linear multifractional stable motion
- PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE
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- Modeling stock market dynamics with stochastic differential equation driven by fractional Brownian motion: a Bayesian method
- Wavelet analysis of the multivariate fractional Brownian motion
- Identification of the multiscale fractional Brownian motion with biomechanical applications
- Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values
- Combinatorial fractal Brownian motion model
- Identification of the Hurst index of a step fractional Brownian motion
- A wavelet characterization for the upper global Hölder index
- Fractional Brownian motion with variable Hurst parameter: definition and properties
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