Geodesic
Local estimation of the Hurst index of multifractional brownian motion by increment ratio statistic method
ESAIM: Probability and Statistics, Tome 17 (2013), pp. 307-327

Voir la notice de l'article provenant de la source Numdam

We investigate here the central limit theorem of the increment ratio statistic of a multifractional Brownian motion, leading to a CLT for the time varying Hurst index. The proofs are quite simple relying on Breuer-Major theorems and an original freezing of time strategy. A simulation study shows the goodness of fit of this estimator.

DOI : 10.1051/ps/2011154
Classification : 60G22, 662M09
Keywords: increment ratio statistic, fractional brownian motion, local estimation, multifractional brownian motion, wavelet series representation 
@article{PS_2013__17__307_0,
     author = {Bertrand, Pierre Rapha\"el and Fhima, Mehdi and Guillin, Arnaud},
     title = {Local estimation of the {Hurst} index of multifractional brownian motion by increment ratio statistic method},
     journal = {ESAIM: Probability and Statistics},
     pages = {307--327},
     publisher = {EDP-Sciences},
     volume = {17},
     year = {2013},
     doi = {10.1051/ps/2011154},
     mrnumber = {3066382},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps/2011154/}
}
TY  - JOUR
AU  - Bertrand, Pierre Raphaël
AU  - Fhima, Mehdi
AU  - Guillin, Arnaud
TI  - Local estimation of the Hurst index of multifractional brownian motion by increment ratio statistic method
JO  - ESAIM: Probability and Statistics
PY  - 2013
SP  - 307
EP  - 327
VL  - 17
PB  - EDP-Sciences
UR  - http://geodesic.mathdoc.fr/articles/10.1051/ps/2011154/
DO  - 10.1051/ps/2011154
LA  - en
ID  - PS_2013__17__307_0
ER  - 
%0 Journal Article
%A Bertrand, Pierre Raphaël
%A Fhima, Mehdi
%A Guillin, Arnaud
%T Local estimation of the Hurst index of multifractional brownian motion by increment ratio statistic method
%J ESAIM: Probability and Statistics
%D 2013
%P 307-327
%V 17
%I EDP-Sciences
%U http://geodesic.mathdoc.fr/articles/10.1051/ps/2011154/
%R 10.1051/ps/2011154
%G en
%F PS_2013__17__307_0
Bertrand, Pierre Raphaël; Fhima, Mehdi; Guillin, Arnaud. Local estimation of the Hurst index of multifractional brownian motion by increment ratio statistic method. ESAIM: Probability and Statistics, Tome 17 (2013), pp. 307-327. doi: 10.1051/ps/2011154

Cité par Sources :