Gaussian processes that are multifractional are studied in this paper. By multifractional processes we mean that they behave locally like a fractional Brownian motion, but the fractional index is no more a constant: it is a function. We introduce estimators of this multifractional function based on discrete observations of one sample path of the process and we study their asymptotical behaviour as the mesh decreases to zero. Key-words: Gaussian processes, identication, multifractional function. AMS classication (1991): 60G15,60G17,62G05
We investigate numerically apparent multi-fractal behavior of samples from synthetically generated p...
LE MOUVEMENT BROWNIEN MULTIFRACTIONNAIRE EST UNE GENERALISATION DU BIEN CONNU MOUVEMENT BROWNIEN FRA...
We propose a decomposition of financial time series into Gaussian subsequences characterized by a co...
Gaussian processes that are multifractional are studied in this paper. By multifractional processes ...
International audienceMultifractional processes are stochastic processes with non-stationary increme...
AbstractThe multifractional Brownian motion (MBM) processes are locally self-similar Gaussian proces...
The Multifractional Brownian Motion (MBM) is a generalization of the well known Fractional Brownian ...
In this article we will present a new perspective on the variable order fractional calculus, which a...
We extend and adapt a class of estimators of the parameter H of the fractional Brownian motion in or...
Gaussian process, fractional Brownian motion, multifractional Brownian motion, Hölder regularity, po...
AbstractThe generalized multifractional Brownian motion (GMBM) is a continuous Gaussian process that...
International audienceIn this article a class of multifractal processes is introduced, called Genera...
This thesis deals with statistical problems related to two parametric models : the fractional Browni...
International audienceThe geometry of the multifractional Brownian motion (mBm) is known to present ...
International audienceA new nonparametric estimator of the local Hurst function of a multifractional...
We investigate numerically apparent multi-fractal behavior of samples from synthetically generated p...
LE MOUVEMENT BROWNIEN MULTIFRACTIONNAIRE EST UNE GENERALISATION DU BIEN CONNU MOUVEMENT BROWNIEN FRA...
We propose a decomposition of financial time series into Gaussian subsequences characterized by a co...
Gaussian processes that are multifractional are studied in this paper. By multifractional processes ...
International audienceMultifractional processes are stochastic processes with non-stationary increme...
AbstractThe multifractional Brownian motion (MBM) processes are locally self-similar Gaussian proces...
The Multifractional Brownian Motion (MBM) is a generalization of the well known Fractional Brownian ...
In this article we will present a new perspective on the variable order fractional calculus, which a...
We extend and adapt a class of estimators of the parameter H of the fractional Brownian motion in or...
Gaussian process, fractional Brownian motion, multifractional Brownian motion, Hölder regularity, po...
AbstractThe generalized multifractional Brownian motion (GMBM) is a continuous Gaussian process that...
International audienceIn this article a class of multifractal processes is introduced, called Genera...
This thesis deals with statistical problems related to two parametric models : the fractional Browni...
International audienceThe geometry of the multifractional Brownian motion (mBm) is known to present ...
International audienceA new nonparametric estimator of the local Hurst function of a multifractional...
We investigate numerically apparent multi-fractal behavior of samples from synthetically generated p...
LE MOUVEMENT BROWNIEN MULTIFRACTIONNAIRE EST UNE GENERALISATION DU BIEN CONNU MOUVEMENT BROWNIEN FRA...
We propose a decomposition of financial time series into Gaussian subsequences characterized by a co...