Uniform Hölder exponent of a stationary increments Gaussian process: Estimation starting from average values

Qidi Peng

Statistics & Probability Letters, 2011, vol. 81, issue 8, 1326-1335

Abstract: Let be a stationary increments Gaussian process satisfying some assumptions. By using the notion of generalized quadratic variation we build a strongly consistent and asymptotically normal estimator of the uniform Hölder exponent of X, over a compact interval. Our estimator is obtained starting from average values of the process over a regular grid.

Keywords: Gaussian; processes; Holder; exponents; Generalized; increments; Quadratic; variations; Central; Limit; Theorems (search for similar items in EconPapers)
Date: 2011
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