Local estimation of the Hurst index of multifractional Brownian motion by Increment Ratio Statistic method - Archive ouverte HAL
Pré-Publication, Document De Travail Année : 2010

Local estimation of the Hurst index of multifractional Brownian motion by Increment Ratio Statistic method

Résumé

We 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.
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Dates et versions

hal-00528935 , version 1 (22-10-2010)

Identifiants

Citer

Pierre, Raphael Bertrand, Mehdi Fhima, Arnaud Guillin. Local estimation of the Hurst index of multifractional Brownian motion by Increment Ratio Statistic method. 2010. ⟨hal-00528935⟩
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