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Nonparametric estimation of the local Hurst function of multifractional Gaussian processes

✍ Scribed by Bardet, Jean-Marc; Surgailis, Donatas


Book ID
120527432
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
632 KB
Volume
123
Category
Article
ISSN
0304-4149

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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