Identification d’un processus gaussien multifractionnaire avec des ruptures sur la fonction d’échelle

DOI10.1016/S0764-4442(00)88620-6zbMath0947.62054OpenAlexW2073408764MaRDI QIDQ4719823

Serge Cohen, Jacques Istas, Albert Benassi, Pierre R. Bertrand

Publication date: 20 October 2003

Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0764-4442(00)88620-6

zbMATH Keywords

fractional Brownian motionscale functionchange timesGaussian multifractional process

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Markov processes: hypothesis testing (62M02)

Related Items (3)

Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity ⋮ Integrated Fractional white Noise as an Alternative to Multifractional Brownian Motion ⋮ Stochastic integration with respect to Gaussian processes.

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