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Identification of multifractional Brownian motion

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References

1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
1996Statistics for Long-Memory Processes.2,686 cited
1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
1997Quadratic variations and estimation of the local Hölder index of a Gaussian process357 cited
2001Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths193 cited
1998Identifying the multifractional function of a Gaussian process133 cited

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2011Measuring the roughness of random paths by increment ratios41 cited
2012Nonparametric estimation of the local Hurst function of multifractional Gaussian processes39 cited
2022Forecasting with fractional Brownian motion: a financial perspective38 cited
2014Asymptotic behavior of mixed power variations and statistical estimation in mixed models32 cited

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