Identification of multifractional Brownian motion

Jean-François Coeurjolly

doi:10.3150/bj/1137421637

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Home > Journals > Bernoulli > Volume 11 > Issue 6 > Article

dec 2005 Identification of multifractional Brownian motion

Jean-François Coeurjolly

Author Affiliations +

Jean-François Coeurjolly¹
¹Labsad, BSHM

Bernoulli 11(6): 987-1008 (dec 2005). DOI: 10.3150/bj/1137421637

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Abstract

We develop a method for estimating the Hurst function of a multifractional Brownian motion, which is an extension of the fractional Brownian motion in the sense that the path regularity can now vary with time. This method is based on a local estimation of the second-order moment of a unique discretized filtered path. The effectiveness of our procedure is investigated in a short simulation study.

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Jean-François Coeurjolly. "Identification of multifractional Brownian motion." Bernoulli 11 (6) 987 - 1008, dec 2005. https://doi.org/10.3150/bj/1137421637