Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models - Archive ouverte HAL Access content directly
Journal Articles Risk and Decision Analysis Year : 2018

Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models

No file

Dates and versions

hal-01816206 , version 1 (15-06-2018)

Identifiers

Cite

Pierre Raphaël Bertrand, Jean-Louis Combes, Marie-Eliette Dury, Doha Hadouni, Sergio Bianchi. Overfitting of Hurst estimators for multifractional Brownian motion: A fitting test advocating simple models. Risk and Decision Analysis, 2018, 7 (1-2), pp.31 - 49. ⟨10.3233/RDA-180136⟩. ⟨hal-01816206⟩
290 View
0 Download

Altmetric

Share

Gmail Facebook X LinkedIn More