Measuring the roughness of random paths by increment ratios

DOI10.3150/10-BEJ291zbMATH Open1248.60042arXiv0802.0489OpenAlexW2074028099MaRDI QIDQ453302FDOQ453302

Authors: Jean-Marc Bardet, Donatas Surgailis 

Publication date: 19 September 2012

Published in: Bernoulli (Search for Journal in Brave)

Abstract: A statistic based on increment ratios (IR) and related to zero crossings of increment sequence is defined and studied for measuring the roughness of random paths. The main advantages of this statistic are robustness to smooth additive and multiplicative trends and applicability to infinite variance processes. The existence of the IR statistic limit (called the IR-roughness below) is closely related to the existence of a tangent process. Three particular cases where the IR-roughness exists and is explicitly computed are considered. Firstly, for a diffusion process with smooth diffusion and drift coefficients, the IR-roughness coincides with the IR-roughness of a Brownian motion and its convergence rate is obtained. Secondly, the case of rough Gaussian processes is studied in detail under general assumptions which do not require stationarity conditions. Thirdly, the IR-roughness of a L'evy process with $alpha-$stable tangent process is established and can be used to estimate the fractional parameter $alphain(0,2)$ following a central limit theorem.

Full work available at URL: https://arxiv.org/abs/0802.0489

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zbMATH Keywords

fractional Brownian motiondiffusion processeslimit theoremsmultifractional Brownian motionestimation of the local regularity function of stochastic processtangent processzero crossingsLévy processesHölder exponent

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Strong limit theorems (60F15) Sample path properties (60G17)

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