Identifying the multifractional function of a Gaussian process

Albert Benassi, Serge Cohen and Jacques Istas

Statistics & Probability Letters, 1998, vol. 39, issue 4, 337-345

Abstract: Gaussian processes that are multifractional are studied in this paper. By multifractional processes we mean that they behave locally like a fractional Brownian motion, but the fractional index is no more a constant: it is a function. We introduce estimators of this multifractional function based on discrete observations of one sample path of the process and we study their asymptotical behavior as the mesh decreases to zero.

Keywords: Gaussian; processes; Identification; Multifractional; function (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (24)

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