Add to ORKGWe investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional Brownian motion, leading to a CLT for the time varying Hurst index. The proofs are quite simple relying on Breuer-Major theorems and an original freezing of time strategy. A simulation study shows the goodness of fit of this estimator
International audienceThe use of diffusion models driven by fractional noise has become popular for ...
International audienceFirst we state the almost sure convergence for the $k$-power second order incr...
We study the pointwise regularity of the Multifractional Brownian Motion and in particular, we get ...
We investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional ...
We investigate here the central limit theorem of the increment ratio statistic of a multif...
International audienceA new nonparametric estimator of the local Hurst function of a multifractional...
Multifractional Brownian motion is a type of stochastic process with time-varying regularity. The ma...
International audienceThis paper gives a central limit theorem for the generalized quadratic variati...
In this thesis, a specific type of stochastic processes displaying time-dependent regularity is stud...
This paper presents a new estimator of the global regularity index of a multifractional Brownian mot...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
International audienceIn this presentation, we introduce a new method for change point analysis on t...
The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stoch...
Hurst exponents depict the long memory of a time series. For human-dependent phenomena, as in financ...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
International audienceThe use of diffusion models driven by fractional noise has become popular for ...
International audienceFirst we state the almost sure convergence for the $k$-power second order incr...
We study the pointwise regularity of the Multifractional Brownian Motion and in particular, we get ...
We investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional ...
We investigate here the central limit theorem of the increment ratio statistic of a multif...
International audienceA new nonparametric estimator of the local Hurst function of a multifractional...
Multifractional Brownian motion is a type of stochastic process with time-varying regularity. The ma...
International audienceThis paper gives a central limit theorem for the generalized quadratic variati...
In this thesis, a specific type of stochastic processes displaying time-dependent regularity is stud...
This paper presents a new estimator of the global regularity index of a multifractional Brownian mot...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
International audienceIn this presentation, we introduce a new method for change point analysis on t...
The main topic of this dissertation is the estimation of the Hurst index H of the solutions of stoch...
Hurst exponents depict the long memory of a time series. For human-dependent phenomena, as in financ...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
International audienceThe use of diffusion models driven by fractional noise has become popular for ...
International audienceFirst we state the almost sure convergence for the $k$-power second order incr...
We study the pointwise regularity of the Multifractional Brownian Motion and in particular, we get ...