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

DOI10.1007/s10986-015-9272-1zbMath1321.60076arXiv1304.2995OpenAlexW2964110156MaRDI 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 regularitylaws of large numberslocal self-similaritywavelet estimationlinear multifractional stable motion

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: estimation (62M09) Strong limit theorems (60F15) Self-similar stochastic processes (60G18) Stable stochastic processes (60G52)

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Estimation of the multifractional function and the stability index of linear multifractional stable processes, Unnamed Item, 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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