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Identification of the Hurst Index of a Step Fractional Brownian Motion · Study

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ArticleIdentification of the Hurst Index of a Step Fractional Brownian Motion

Albert Benassi2000

Article2000

Identification of the Hurst Index of a Step Fractional Brownian Motion

Albert Benassi · Pierre Bertrand · Serge Cohen · Jacques Istas

67 citations·0/0 files stored·Statistical Inference for Stochastic Processes

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Stochastic processes and financial applications Fractional Differential Equations Solutions Complex Systems and Time Series Analysis

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 1997Quadratic variations and estimation of the local Hölder index of a Gaussian process 2000Least‐squares Estimation of an Unknown Number of Shifts in a Time Series 1998Identifying the multifractional function of a Gaussian process

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2004On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion 2011Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity 2004Real harmonizable multifractional Lévy motions 2012Nonparametric estimation of the local Hurst function of multifractional Gaussian processes

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2012Estimators of Fractal Dimension: Assessing the Roughness of Time Series and Spatial Dataarticle · 3 shared references 2004On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motionarticle · 3 shared references 2011Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularityarticle · 3 shared references 2005Identification of multifractional Brownian motionarticle · 3 shared references 2017Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange ratesarticle · 3 shared references 2004Real harmonizable multifractional Lévy motionsarticle · 3 shared references

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Year2000

Typearticle

Published2000-01-01

VenueStatistical Inference for Stochastic Processes

ISSN-L1387-0874

Languageen

Citations67

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1009997729317

openalex_workW1493595224

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