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Communication Dans Un Congrès Année : 2012

Nonparametric estimation of the local Hurst function of multifractional Gaussian processes

Résumé

A new nonparametric estimator of the local Hurst function of a multifractional Gaussian process based on the increment ratio (IR) statistic is defined. In a general frame, the point-wise and uniform weak and strong consistency and a multidimensional central limit theorem for this estimator are established. Similar results are obtained for a refinement of the generalized quadratic variations (QV) estimator. The example of the multifractional Brownian motion is studied in detail. A simulation study is included showing that the IR-estimator is more accurate than the QV-estimator.
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Dates et versions

hal-00707201 , version 1 (12-06-2012)

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  • HAL Id : hal-00707201 , version 1

Citer

Jean-Marc Bardet. Nonparametric estimation of the local Hurst function of multifractional Gaussian processes. JdS 2012, May 2012, Bruxelles, Belgium. ⟨hal-00707201⟩
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