Identification of a Locally Self-similar Gaussian Process by Using Convex Rearrangements

A. Philippe and E. Thilly
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A. Philippe: U.F.R de Mathématiques Bât. M2, Université de Lille I
E. Thilly: Université de Caen—Bât. S3

Methodology and Computing in Applied Probability, 2002, vol. 4, issue 2, 195-209

Abstract: Abstract We propose a new approach for identifying a locally self-similar Gaussian process. The method is based on the asymptotic behavior of convex rearrangement obtained by Davydov and Thilly (2002). Some simulations illustrate the behavior of the resulting estimates in the particular case of the fractional Brownian motion.

Keywords: convex rearrangements; fractal dimension; Gaussian process; Hölder index; self-similar process (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1023/A:1020645709273

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