Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Identification of the Hurst Index of a Step Fractional Brownian Motion

4 references·5 citing·24 second hop

FromToDepth

this work references cited by second hop

References

1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
1997Quadratic variations and estimation of the local Hölder index of a Gaussian process357 cited
2000Least‐squares Estimation of an Unknown Number of Shifts in a Time Series276 cited
1998Identifying the multifractional function of a Gaussian process133 cited

Cited by

2004On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion89 cited
2011Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity80 cited
2004Real harmonizable multifractional Lévy motions43 cited
2012Nonparametric estimation of the local Hurst function of multifractional Gaussian processes39 cited
2006A Central Limit Theorem for the Generalized Quadratic Variation of the Step Fractional Brownian Motion20 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work