Estimation de la régularité globale de la régularité d'un mouvement brownien multifractionnaire

This paper presents a new estimator of the global regularity index of a multifractional Brownian motion. Our estimation method is based upon a ratio statistic, which compares the realized global quadratic variation of a multifractional Brownian motion at two different frequencies. We show that a logarithmic transformation of this statistic converges in probability to the minimum of the Hurst function, which is, under weak assumptions, identical to the global regularity index of the path