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Quadratic variations and estimation of the local Hölder index of a Gaussian process

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References

1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited

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2005

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PATHWISE IDENTIFICATION OF THE MEMORY FUNCTION OF MULTIFRACTIONAL BROWNIAN MOTION WITH APPLICATION TO FINANCE

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2008Error bounds on the non-normal approximation of Hermite power variations of fractional Brownian motion72 cited

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