Estimation of the global regularity of a multifractional Brownian motion

Autor:	Lebovits, Joachim, Podolskij, Mark
Rok vydání:	2016
Předmět:	Mathematics - Probability Statistics - Computation
Druh dokumentu:	Working Paper
Popis:	This paper presents a new estimator of the global regularity index of a multifractional Brownian motion. Our estimation method is based upon a ratio statistic, which compares the realized global quadratic variation of a multifractional Brownian motion at two different frequencies. We show that a logarithmic transformation of this statistic converges in probability to the minimum of the Hurst function, which is, under weak assumptions, identical to the global regularity index of the path.
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1607.02391 Zobrazit plný text záznamu View this record from Arxiv