Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values

DOI10.1016/J.SPL.2011.03.036MaRDI QIDQ553077zbMATH OpenOpenAlexFDO

Authors Qidi Peng

Publication date 26 July 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.03.036

zbMATH Keywords

central limit theoremsquadratic variationsgeneralized increments

Mathematics Subject Classification ID

Gaussian processes (60G15) Non-Markovian processes: estimation (62M09)

Recommendations

• Semi-parametric estimation of the Hölder exponent of a stationary Gaussian process with minimax rates
• Small ball probabilities for Gaussian processes with stationary increments under Hölder norms
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• scientific article; zbMATH DE number 663682
• scientific article; zbMATH DE number 1072474

Cites work

• scientific article; zbMATH DE number 3850256 (Why is no real title available?)
• scientific article; zbMATH DE number 3858075 (Why is no real title available?)
• scientific article; zbMATH DE number 3718924 (Why is no real title available?)
• scientific article; zbMATH DE number 3608897 (Why is no real title available?)
• scientific article; zbMATH DE number 3259552 (Why is no real title available?)
• DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION
• Estimation of the Hurst parameter from discrete noisy data
• Identification of filtered white noises
• Identification of multifractional Brownian motion
• On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Stochastic volatility and fractional Brownian motion
• Testing for the presence of self-similarity of Gaussian series having stationary increments

Cited in

(4)

• Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients
• Covariance-based dissimilarity measures applied to clustering wide-sense stationary ergodic processes
• Semi-parametric estimation of the Hölder exponent of a stationary Gaussian process with minimax rates
• scientific article; zbMATH DE number 663682 (Why is no real title available?)

This page was built for publication: Uniform Hölder exponent of a stationary increments Gaussian process: estimation starting from average values

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q553077)