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

DOI10.1016/J.SPL.2011.03.036zbMATH Open1219.62130OpenAlexW2055583554MaRDI QIDQ553077FDOQ553077

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

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• scientific article; zbMATH DE number 663682
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zbMATH Keywords

central limit theoremsquadratic variationsgeneralized increments

Mathematics Subject Classification ID

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

Cites Work

• Quadratic variations and estimation of the local Hölder index of a Gaussian process
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• Estimation of the Hurst parameter from discrete noisy data
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• Testing for the presence of self-similarity of Gaussian series having stationary increments
• Identification of filtered white noises
• DEFINITION, PROPERTIES AND WAVELET ANALYSIS OF MULTISCALE FRACTIONAL BROWNIAN MOTION
• Identification of multifractional Brownian motion
• On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion

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
• Title not available (Why is that?)

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