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

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

2010-10-23

arxiv.org/abs/1010.4849v1

Mathematics

Probability

Scientific paper

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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