Linear multifractional stable motion: wavelet estimation of \(H(\cdot)\) and \(\alpha\) parameters

DOI10.1007/s10986-015-9272-1zbMath1321.60076arXiv1304.2995MaRDI QIDQ493615

Julien Hamonier, Antoine Ayache

Publication date: 3 September 2015

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1304.2995

zbMATH Keywords

Hölder regularity; laws of large numbers; local self-similarity; wavelet estimation; linear multifractional stable motion

Mathematics Subject Classification ID

42C40: Nontrigonometric harmonic analysis involving wavelets and other special systems

60G22: Fractional processes, including fractional Brownian motion

62M09: Non-Markovian processes: estimation

60F15: Strong limit theorems

60G18: Self-similar stochastic processes

60G52: Stable stochastic processes

Related Items

Estimation of the multifractional function and the stability index of linear multifractional stable processes, Series representation of jointly \(S \alpha S\) distribution via symmetric covariations, Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters

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