Integrated Fractional white Noise as an Alternative to Multifractional Brownian Motion

DOI10.1239/jap/1183667409zbMath1142.60030MaRDI QIDQ5443739

Allan Sly

Publication date: 22 February 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1183667409

zbMATH Keywords

multifractional Brownian motion; local asymptotic self-similarity; local estimator; integrated fractional white noise

Mathematics Subject Classification ID

60G15: Gaussian processes

60F05: Central limit and other weak theorems

62-XX: Statistics

60G18: Self-similar stochastic processes

Related Items

Multifractional Vector Brownian Motions, Their Decompositions, and Generalizations, From Hermite Polynomials to Multifractional Processes, Local likelihood estimation for nonstationary random fields

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