Nonparametric estimation of the local Hurst function of multifractional processes

Details Nonparametric estimation of the local Hurst function of multifractional processes Nonparametric estimation of the local Hurst function of multifractional processes

2010-10-14

arxiv.org/abs/1010.2895v1

Mathematics

Statistics Theory

Scientific paper

Consistency, almost sure convergence and central limit theorems are provided
for two nonparametric estimators of the local Hurst function of Gaussian
multifractional processes. In the case of multifractional Brownian motions, we
correct results of Coeurjolly (2005) \cite{coeur2005} and Benassi {\it et al.}
(1998a) \cite{ben1998a}.

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